Allied World Assurance 8-K Allied World Reports 3.2% Quarterly Growth In Diluted Book Value Per Share with Strong Second Quarter 2012 Results

Exhibit 99.3

Allied World Assurance Company Holdings, AG   Securities Listing as at June 30, 2012

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
U.S. Government Securities
912810DW5	UNITED STATES TREASURY		7.25		5/15/2016		310,000		388,715
912810EZ7	UNITED STATES TREASURY		6.63		2/15/2027		2,475,000		3,867,262
912828AJ9	UNITED STATES TREASURY		4.38		8/15/2012		500,000		502,540
912828AP5	UNITED STATES TREASURY		4.00		11/15/2012		2,465,000		2,500,052
912828BA7	UNITED STATES TREASURY		3.63		5/15/2013		1,500,000		1,543,830
912828CA6	UNITED STATES TREASURY		4.00		2/15/2014		990,000		1,048,747
912828CT5	UNITED STATES TREASURY		4.25		8/15/2014		1,440,000		1,558,555
912828DM9	UNITED STATES TREASURY		4.00		2/15/2015		1,500,000		1,640,640
912828DV9	UNITED STATES TREASURY		4.13		5/15/2015		500,000		552,625
912828EE6	UNITED STATES TREASURY		4.25		8/15/2015		1,000,000		1,117,290
912828EW6	UNITED STATES TREASURY		4.50		2/15/2016		2,000,000		2,284,960
912828FY1	UNITED STATES TREASURY		4.63		11/15/2016		5,185,000		6,069,250
912828HC7	UNITED STATES TREASURY		4.13		8/31/2012		500,000		503,240
912828HH6	UNITED STATES TREASURY		4.25		11/15/2017		1,000,000		1,179,540
912828HT0	UNITED STATES TREASURY		2.75		2/28/2013		800,000		813,472
912828HV5	UNITED STATES TREASURY		2.50		3/31/2013		4,665,000		4,743,885
912828HY9	UNITED STATES TREASURY		3.13		4/30/2013		1,165,000		1,192,855
912828JK7	UNITED STATES TREASURY		3.13		8/31/2013		1,025,000		1,058,907
912828JQ4	UNITED STATES TREASURY		2.75		10/31/2013		1,500,000		1,548,930
912828JZ4	UNITED STATES TREASURY		1.75		1/31/2014		1,000,000		1,022,730
912828KN9	UNITED STATES TREASURY		1.88		4/30/2014		715,000		735,134
912828KY5	UNITED STATES TREASURY		2.63		6/30/2014		495,000		517,696
912828KZ2	UNITED STATES TREASURY		3.25		6/30/2016		500,000		552,495
912828LC2	UNITED STATES TREASURY		2.63		7/31/2014		16,735,000		17,524,390
912828LP3	UNITED STATES TREASURY		3.00		9/30/2016		500,000		549,565
912828LQ1	UNITED STATES TREASURY		2.38		9/30/2014		2,688,000		2,810,438
912828LS7	UNITED STATES TREASURY		2.38		10/31/2014		9,135,000		9,562,518
912828LZ1	UNITED STATES TREASURY		2.13		11/30/2014		1,000,000		1,042,170
912828ME7	UNITED STATES TREASURY		2.63		12/31/2014		1,000,000		1,056,120
912828MG2	UNITED STATES TREASURY		1.38		1/15/2013		5,000,000		5,031,650
912828MH0	UNITED STATES TREASURY		2.25		1/31/2015		1,000,000		1,047,970
912828MR8	UNITED STATES TREASURY		2.38		2/28/2015		5,845,000		6,151,219
912828NC0	UNITED STATES TREASURY		1.38		5/15/2013		64,600,000		65,235,664
912828NH9	UNITED STATES TREASURY		1.13		6/15/2013		45,000,000		45,370,799
912828NP1	UNITED STATES TREASURY		1.75		7/31/2015		1,000,000		1,039,670
912828NU0	UNITED STATES TREASURY		0.75		8/15/2013		100,000		100,539
912828NV8	UNITED STATES TREASURY		1.25		8/31/2015		1,200,000		1,229,892
912828NZ9	UNITED STATES TREASURY		1.25		9/30/2015		1,000,000		1,024,740
912828PD6	UNITED STATES TREASURY		0.38		10/31/2012		6,000,000		6,004,200
912828PJ3	UNITED STATES TREASURY		1.38		11/30/2015		1,000,000		1,029,540
912828PS3	UNITED STATES TREASURY		2.00		1/31/2016		20,000,000		21,043,600
912828PW4	UNITED STATES TREASURY		0.63		12/31/2012		20,000,000		20,042,200
912828QE3	UNITED STATES TREASURY		0.63		4/30/2013		12,900,000		12,941,281
912828QF0	UNITED STATES TREASURY		2.00		4/30/2016		25,500,000		26,895,105
912828QH6	UNITED STATES TREASURY		1.25		2/15/2014		1,000,000		1,015,020
912828QJ2	UNITED STATES TREASURY		2.13		2/29/2016		15,475,000		16,367,598
912828QL7	UNITED STATES TREASURY		0.75		3/31/2013		5,000,000		5,019,750
912828QP8	UNITED STATES TREASURY		1.75		5/31/2016		2,000,000		2,091,160

Allied World Assurance Company Holdings, AG   Securities Listing as at June 30, 2012

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
912828QQ6	UNITED STATES TREASURY		2.38		5/31/2018		5,000,000		5,417,600
912828QR4	UNITED STATES TREASURY		1.50		6/30/2016		1,000,000		1,035,870
912828QX1	UNITED STATES TREASURY		1.50		7/31/2016		4,175,000		4,325,550
912828RA0	UNITED STATES TREASURY		0.38		6/30/2013		1,000,000		1,001,200
912828RB8	UNITED STATES TREASURY		0.50		8/15/2014		1,000,000		1,003,360
912828RF9	UNITED STATES TREASURY		1.00		8/31/2016		2,000,000		2,031,540
912828RJ1	UNITED STATES TREASURY		1.00		9/30/2016		20,300,000		20,615,259
912828RK8	UNITED STATES TREASURY		0.13		9/30/2013		20,000,000		19,962,601
912828RM4	UNITED STATES TREASURY		1.00		10/31/2016		2,950,000		2,994,781
912828RQ5	UNITED STATES TREASURY		0.38		11/15/2014		24,900,000		24,915,188
912828RS1	UNITED STATES TREASURY		0.25		11/30/2013		141,630,000		141,533,690
912828RV4	UNITED STATES TREASURY		0.25		12/15/2014		30,100,000		30,023,848
912828RX0	UNITED STATES TREASURY		0.88		12/31/2016		79,801,500		80,514,126
912828RZ5	UNITED STATES TREASURY		0.25		1/15/2015		1,000,000		997,190
912828SB7	UNITED STATES TREASURY		0.25		1/31/2014		1,000,000		999,090
912828SC5	UNITED STATES TREASURY		0.88		1/31/2017		1,000,000		1,008,510
912828SE1	UNITED STATES TREASURY		0.25		2/15/2015		1,000,000		996,540
912828SG6	UNITED STATES TREASURY		0.25		2/28/2014		1,000,000		999,010
912828SJ0	UNITED STATES TREASURY		0.88		2/28/2017		28,055,000		28,296,554
912828SK7	UNITED STATES TREASURY		0.38		3/15/2015		1,000,000		999,430
912828SL5	UNITED STATES TREASURY		0.25		3/31/2014		37,000,000		36,956,711
912828SM3	UNITED STATES TREASURY		1.00		3/31/2017		1,000,000		1,013,630
912828SP6	UNITED STATES TREASURY		0.38		4/15/2015		2,000,000		1,998,620
912828SR2	UNITED STATES TREASURY		0.25		4/30/2014		79,379,000		79,279,776
912828SS0	UNITED STATES TREASURY		0.88		4/30/2017		65,500,000		65,999,765
912828SU5	UNITED STATES TREASURY		0.25		5/15/2015		8,600,000		8,562,762
912828SV3	UNITED STATES TREASURY		1.75		5/15/2022		1,500,000		1,512,075
912828SZ4	UNITED STATES TREASURY		0.38		6/15/2015		1,000,000		999,140
912828TC4	UNITED STATES TREASURY		1.00		6/30/2019		1,000,000		992,030
9127954B4	UNITED STATES TREASURY		0.00		7/26/2012		260,000,000		259,981,028
9127956R7	UNITED STATES TREASURY		0.00		5/30/2013		4,100,000		4,093,324
912828MB3	UNITED STATES TREASURY		1.13		12/15/2012		30,500,000		30,634,057
912828PR5	UNITED STATES TREASURY		0.63		1/31/2013		70,500,000		70,676,257
912828GX2	UNITED STATES TREASURY		2.63		7/15/2017		8,800,000		11,614,806
912828SQ4	UNITED STATES TREASURY		0.13		4/15/2017		9,240,000		9,882,337
							1,245,938,500		1,262,037,406
U.S. Government Agencies
31331KHW3	FEDERAL FARM CREDIT BANK		1.63		11/19/2014		750,000		770,992
313375RN9	FHLB		1.00		3/11/2016		2,000,000		2,018,940
3133762C8	FHLB		0.38		11/27/2013		2,000,000		2,000,580
3133XVEM9	FHLB		1.63		11/21/2012		1,500,000		1,508,340
3133XVNU1	FHLB		2.75		12/12/2014		74,500,000		78,584,097
3128X23A1	FHLMC		4.50		4/2/2014		250,000		267,715
3134G3PD6	FHLMC		0.55		2/27/2015		250,000		250,150
3137EAAJ8	FHLMC		5.13		10/18/2016		250,000		295,275
3137EACE7	FHLMC		2.13		9/21/2012		1,500,000		1,506,510
3137EACR8	FHLMC		1.38		2/25/2014		1,000,000		1,016,840
3137EACW7	FHLMC		2.00		8/25/2016		50,000,000		52,486,004
3137EADA4	FHLMC		0.63		12/29/2014		1,000,000		1,004,180
3137EADC0	FHLMC		1.00		3/8/2017		92,000,000		92,372,599

Allied World Assurance Company Holdings, AG   Securities Listing as at June 30, 2012

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
3137EADD8	FHLMC		0.50		4/17/2015		17,975,000		17,980,571
3137EADF3	FHLMC		1.25		5/12/2017		6,000,000		6,084,661
3137EACX5	FHLMC AGENCY		0.38		10/30/2013		4,000,000		4,001,600
3135G0BR3	FNMA		0.50		8/9/2013		4,750,000		4,760,735
3135G0BY8	FNMA		0.88		8/28/2014		4,750,000		4,796,597
3135G0CC5	FNMA		0.55		8/23/2013		250,000		249,663
3135G0CL5	FNMA		0.38		5/17/2013		50,000,000		50,084,427
3135G0CM3	FNMA		1.25		9/28/2016		10,000,000		10,184,600
3135G0DF7	FNMA		0.70		9/19/2014		300,000		300,183
3135G0DT7	FNMA		0.70		10/17/2014		250,000		250,077
3135G0ES8	FNMA		1.38		11/15/2016		1,000,000		1,023,260
3135G0GH0	FNMA		0.90		12/5/2014		250,000		250,523
3135G0GY3	FNMA		1.25		1/30/2017		8,000,000		8,137,280
3135G0HG1	FNMA		0.38		3/16/2015		107,000,000		106,675,789
3135G0KU6	FNMA		0.80		11/23/2015		9,700,000		9,708,924
31398A2S0	FNMA		1.00		9/23/2013		1,000,000		1,008,560
31398A4M1	FNMA		1.63		10/26/2015		21,500,000		22,237,022
31398A6F4	FNMA		0.38		12/28/2012		1,500,000		1,501,260
							475,225,000		483,317,954
Non U.S. Government Securities & Agencies
135087YN8	CANADA GOVERNMENT		3.50		6/1/2013		7,850,000		7,871,753
135087YS7	CANADA GOVERNMENT		3.00		6/1/2014		2,015,000		2,050,146
135087YU2	CANADA GOVERNMENT		2.00		12/1/2014		8,860,000		8,883,153
135087ZC1	CANADA GOVERNMENT		2.50		6/1/2015		2,500,000		2,550,060
135087ZF4	CANADA GOVERNMENT		3.00		12/1/2015		1,100,000		1,144,903
135087ZG2	CANADA GOVERNMENT		2.50		9/1/2013		1,700,000		1,696,367
135087ZN7	CANADA GOVERNMENT		2.00		3/1/2014		400,000		398,659
135087ZP2	CANADA GOVERNMENT		2.00		8/1/2013		1,250,000		1,239,418
135087ZQ0	CANADA GOVERNMENT		2.75		9/1/2016		5,450,000		5,674,408
135087ZR8	CANADA GOVERNMENT		2.25		8/1/2014		5,200,000		5,228,692
135087ZT4	CANADA GOVERNMENT		1.50		11/1/2013		650,000		641,703
135087ZV9	CANADA GOVERNMENT		1.50		3/1/2017		4,400,000		4,365,290
135087ZX5	CANADA GOVERNMENT		1.00		2/1/2015		3,000,000		2,937,092
038461AC3	AID-EGYPT		4.45		9/15/2015		25,000,000		27,967,208
D20658J64	DEUTSCHE BUNDESREPUBLIK		3.50		1/4/2016		19,300,000		27,212,576
H7351MFG3	SWITZERLAND (CONFEDERATION OF)		4.25		6/5/2017		1,850,000		2,354,865
H7351PL38	SWITZERLAND (CONFEDERATION OF)		2.00		10/12/2016		1,850,000		2,121,685
H7351PL46	SWITZERLAND (CONFEDERATION OF)		2.00		11/9/2014		1,850,000		2,058,357
H7351PMW3	SWITZERLAND (CONFEDERATION OF)		4.00		2/11/2013		1,850,000		2,008,702
H7351PRV0	SWITZERLAND (CONFEDERATION OF)		3.75		6/10/2015		1,850,000		2,183,254
Q0819ACW8	AUSTRALIA COMMONWEALTH OF		5.75		5/15/2021		26,500,000		33,083,094
Q2694KDZ4	GOVT OF AUSTRALIA		5.25		3/15/2019		4,000,000		4,726,424
S69124FF7	REPUBLIC OF SOUTH AFRICA		10.50		12/21/2026		61,910,000		9,233,414
G924507Q5	UNITED KINGDOM GILT		2.75		1/22/2015		6,950,000		11,555,861
G92450NU8	UNITED KINGDOM GILT		5.00		9/7/2014		7,300,000		12,627,858
G92451GE0	UNITED KINGDOM GILT		1.75		1/22/2017		40,000		65,555
013051DA2	ALBERTA PROVINCE OF		2.75		12/1/2014		950,000		965,085
13509PCS0	CANADA HOUSING TRUST		3.80		6/15/2021		32,000,000		35,557,307
282645AQ3	EKSPORTFINANS ASA		5.50		5/25/2016		200,000		196,547
28264QGC2	EKSPORTFINANS ASA		5.50		6/26/2017		3,500,000		3,400,442

Allied World Assurance Company Holdings, AG   Securities Listing as at June 30, 2012

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
28264QR63	EKSPORTFINANS A/S		3.00		11/17/2014		2,000,000		1,893,946
302154AU3	EXPORT-IMPORT BANK OF KOREA		5.88		1/14/2015		5,600,000		6,100,640
563469EU5	MANITOBA PROVINCE		5.25		12/3/2012		900,000		897,969
642866FT9	NEW BRUNSWICK PROVINCE OF		4.50		2/4/2015		900,000		951,370
683234WM6	ONTARIO PROVINCE		4.50		3/8/2015		900,000		953,106
68323ABJ2	ONTARIO PROVINCE		0.95		5/26/2015		9,700,000		9,747,433
74733LAC6	QTEL INTERNATIONAL FINANCE LTD		3.38		10/14/2016		6,100,000		6,321,430
748148RK1	QUEBEC PROVINCE OF		5.25		10/1/2013		850,000		875,564
803854JF6	SASKATCHEWAN PROVINCE		5.25		6/3/2014		900,000		950,520
J1348FAB1	EKSPORTFINANS ASA		0.89		6/16/2015		100,000,000		1,054,057
135087ZD9	CANADA GOVERNMENT		1.75		3/1/2013		10,000,000		9,849,610
28264QU93	EKSPORTFINANS		0.67		4/5/2013		1,300,000		1,262,312
500769BM5	KREDITANSTALT FUER WIDERAUFBAU		4.38		2/9/2016		900,000		955,789
D4085B7F2	KREDITANSTALT FUER WIDERAUFBAU		2.50		5/28/2013		42,000,000		42,766,872
P9767GT92	UNITED MEXICAN STATES		9.00		6/20/2013		1,148,141		8,912,407
							424,473,141		315,492,904
Agency MBS
312906J50	FHLMC		8.50		9/15/2022		57,128		64,335
313602YQ1	FANNIE MAE FNMA_89-44		9.00		7/25/2019		60,484		68,276
3137A83K2	FHR_3820D DA		4.00		11/15/2035		21,128,949		22,445,916
3137AEV77	FHLMC		2.70		5/25/2018		8,300,000		8,748,947
3137ANMN2	FHLMC MULTIFAMILY STRUCTURED P		2.22		12/25/2018		3,400,000		3,487,788
31393QDY5	FHLMC		5.50		1/15/2032		4,354,449		4,531,196
31397BRY9	FHLMC_3221		5.00		7/15/2036		5,000,000		5,241,150
38374CP54	GNMA_03-75		4.50		3/20/2024		2,631,292		2,684,154
62888VAB4	NCUA GUARANTEED NOTES		1.84		10/7/2020		1,159,087		1,173,390
36176ABB4	GNMA		3.50		3/15/2042		310,930		333,050
36176FUE6	GNMA		3.50		2/15/2042		119,440		127,938
36176QPR9	GNMA		3.50		3/15/2042		837,377		896,949
36176R7D8	GNMA		3.50		3/15/2042		995,292		1,066,238
36176V5Q2	GNMA		3.50		3/15/2042		38,433		41,167
36176WGG0	GNMA		3.50		12/15/2041		1,825,801		1,955,692
36176XCT4	GNMA		3.50		2/15/2042		1,471,315		1,575,987
36177NXQ8	GNMA		3.50		3/15/2042		619,365		663,428
36177R5R8	GNMA		3.50		3/15/2042		1,772,534		1,898,636
36177RXF3	GNMA		3.50		1/15/2042		3,369,916		3,609,659
36177S3E7	GNMA		3.50		2/15/2042		2,244,695		2,404,387
36202FZY5	GNMA		4.00		12/20/2041		2,498,376		2,727,503
36206XC43	GNMA		7.00		5/15/2031		926		1,093
3620A9SW2	GNMA		4.50		9/15/2039		430,859		471,924
3620C04Y1	GNMA		4.50		7/15/2040		2,018,567		2,214,427
3620C1WV4	GNMA		3.50		1/15/2042		3,348,678		3,586,910
36212PPP1	GNMA		7.00		4/15/2031		10,932		12,905
36212U5G2	GNMA		7.00		5/15/2031		12,153		14,346
36213HGU7	GNMA		7.00		3/15/2031		1,636		1,932
36225DM43	GNMA		1.63		3/20/2035		9,933,545		10,370,441
36230PCY4	GNMA		3.50		1/15/2042		385,662		413,099
36230RVV5	GNMA		3.50		11/15/2040		24,464,857		26,239,761
36241KV39	GNMA		4.50		8/15/2038		6,455,503		7,064,404
36241KV47	GNMA		4.50		9/15/2038		5,467,028		5,979,631

Allied World Assurance Company Holdings, AG   Securities Listing as at June 30, 2012

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
36241KWA2	GNMA		4.50		10/15/2038		2,983,554		3,263,300
36241LY91	GNMA		3.50		10/15/2041		407,665		436,667
36296QRY7	GNMA		5.00		4/15/2039		1,999,624		2,204,257
36297FYL0	GNMA		4.50		10/15/2039		88,896		97,369
3132H3P31	FHLMC GOLD		4.00		6/1/2042		3,000,000		3,207,207
3132H3QV8	FHLMC GOLD		4.00		5/1/2042		1,000,100		1,069,176
3132H3XR9	FHLMC GOLD		4.00		5/1/2042		5,000,000		5,345,346
31368HNV1	FNMA		4.50		5/1/2040		6,640,713		7,126,574
31371LHQ5	FNMA		4.00		12/1/2013		60,612		62,139
31371LNH8	FNMA		4.00		4/1/2014		15,524		16,011
31371LZJ1	FNMA		4.00		1/1/2015		193,120		199,174
31371M5M5	FNMA		5.50		1/1/2037		247,566		269,443
31371MEP8	FNMA		5.00		9/1/2035		8,602		9,301
31371MG92	FNMA		4.00		9/1/2015		57,796		60,230
31371N4F9	FNMA		6.00		10/1/2028		320,932		352,368
31371NCJ2	FNMA		5.50		4/1/2037		7,899		8,596
31371NMG7	FNMA		6.00		11/1/2037		379,641		416,537
31371NP25	FNMA		5.50		1/1/2038		1,388,381		1,510,937
31379T6G4	FNMA		5.00		2/1/2014		7,379		7,959
31381QFF8	FNMA		3.75		3/1/2018		8,472,573		9,263,572
31382NR20	FNMA		5.50		4/1/2029		386		421
31385RB58	FNMA		8.50		4/1/2030		962,308		1,103,045
31385XK48	FNMA		2.35		7/1/2033		217,232		231,351
31388XVV3	FNMA		2.41		8/1/2033		5,744,330		5,942,210
31389EVA0	FNMA		6.50		12/1/2016		1,039,959		1,147,803
31389EVB8	FNMA		6.50		12/1/2016		1,179,672		1,302,004
3138A14X6	FNMA		4.00		12/1/2040		30,498		32,469
3138A1A43	FNMA		4.00		1/1/2041		81,706		86,986
3138A1AG6	FNMA		4.00		12/1/2040		426,508		454,074
3138A1AR2	FNMA		4.00		12/1/2040		71,092		75,687
3138A1AW1	FNMA		4.00		12/1/2040		1,199,331		1,276,844
3138A1BA8	FNMA		4.00		1/1/2041		3,281,847		3,495,784
3138A1BB6	FNMA		4.00		12/1/2040		314,908		335,261
3138A1CT6	FNMA		4.00		2/1/2035		74,508		79,365
3138A1HR5	FNMA		4.00		12/1/2040		1,598,636		1,719,269
3138A1MA6	FNMA		4.00		2/1/2041		274,067		291,933
3138A1SU6	FNMA		4.00		12/1/2040		287,097		307,865
3138A1U33	FNMA		4.00		12/1/2040		1,056,480		1,124,761
3138A1UZ2	FNMA		4.00		12/1/2040		2,418,500		2,574,808
3138A1VQ1	FNMA		4.00		1/1/2041		310,354		330,412
3138A2CK3	FNMA		4.00		12/1/2025		3,485,131		3,705,608
3138A2DD8	FNMA		4.00		12/1/2040		63,740		67,860
3138A2FJ3	FNMA		4.00		12/1/2025		201,449		214,194
3138A2HF9	FNMA		4.00		1/1/2041		868,730		931,569
3138A2K99	FNMA		4.00		12/1/2040		418,443		445,488
3138A2LL1	FNMA		4.00		12/1/2040		72,024		76,679
3138A2MM8	FNMA		4.00		1/1/2041		1,686,335		1,795,324
3138A2PD5	FNMA		3.50		1/1/2026		7,378,412		7,797,034
3138A2ZZ5	FNMA		4.00		7/1/2041		954,330		1,016,541
3138A36V4	FNMA		4.00		1/1/2041		27,268,768		29,031,152

Allied World Assurance Company Holdings, AG   Securities Listing as at June 30, 2012

Cusip	Security Description	Coupon			Maturity		Par		Market Value $
3138A3DJ3	FNMA		4.00			3/1/2026		188,785		200,962
3138A3VB0	FNMA		4.00	��		1/1/2041		4,060,976		4,388,992
3138A3WC7	FNMA		4.00			1/1/2041		269,049		286,438
3138A44L6	FNMA		4.50			2/1/2041		4,741,269		5,097,600
3138A4CC7	FNMA		4.00			7/1/2041		220,597		234,977
3138A4KH7	FNMA		4.00			1/1/2041		68,157		72,562
3138A4NR2	FNMA		4.00			1/1/2041		33,085		35,241
3138A4PA7	FNMA		4.00			2/1/2041		47,268		50,349
3138A54P4	FNMA		4.00			2/1/2041		167,581		178,505
3138A5RN4	FNMA		4.00			2/1/2026		74,901		79,732
3138A6A75	FNMA		4.00			2/1/2041		99,160		105,624
3138A6DZ0	FNMA		4.00			1/1/2041		68,377		72,834
3138A6E97	FNMA		4.00			2/1/2041		1,275,911		1,359,085
3138A6EF3	FNMA		4.00			1/1/2041		505,255		538,192
3138A6KE9	FNMA		4.00			2/1/2041		50,906		54,225
3138A6LD0	FNMA		5.00			2/1/2041		248,800		271,296
3138A6LJ7	FNMA		4.00			2/1/2026		16,672,566		17,747,977
3138A6RH5	FNMA		4.00			1/1/2041		29,528		31,453
3138A7G69	FNMA		4.00			2/1/2026		93,881		99,937
3138A7HY7	FNMA		3.50			2/1/2041		1,797,883		1,890,433
3138A7QK7	FNMA		3.50			2/1/2041		1,277,983		1,343,931
3138A7ZQ4	FNMA		4.00			3/1/2041		716,961		763,698
3138A8A48	FNMA		4.00			2/1/2041		869,820		926,522
3138A8J56	FNMA		4.00			3/1/2041		2,886,639		3,074,814
3138A8MD5	FNMA		4.00			2/1/2041		4,835,821		5,151,059
3138A9CZ5	FNMA		4.00			3/1/2041		4,183,818		4,499,529
3138A9N26	FNMA		4.00			3/1/2041		201,332		214,457
3138A9ZN7	FNMA		4.00			10/1/2041		40,429		43,065
3138A9ZW7	FNMA		4.00			10/1/2041		39,015		41,850
3138AA4M0	FNMA		4.50			3/1/2041		4,880,543		5,391,036
3138AAKX8	FNMA		4.00			4/1/2041		128,890		139,139
3138AAUS8	FNMA		4.00			4/1/2041		137,387		146,343
3138AAYW5	FNMA		4.00			3/1/2041		546,799		582,444
3138AB2D0	FNMA		4.00			2/1/2041		118,375		126,092
3138ABZC6	FNMA		5.50			4/1/2041		354,317		386,667
3138ADBV6	FNMA		4.00			7/1/2041		387,062		412,294
3138ADER2	FNMA		4.00			4/1/2041		364,005		387,733
3138ADUG8	FNMA		5.00			5/1/2041		1,055,777		1,151,240
3138AECL5	FNMA		4.00			5/1/2041		53,549		57,040
3138AEZG1	FNMA		4.00			7/1/2041		906,792		965,904
3138AFH86	FNMA		4.00			5/1/2041		540,930		576,192
3138AFKH2	FNMA		4.00			5/1/2026		87,409		93,047
3138AFRR3	FNMA		4.00			5/1/2041		139,496		148,590
3138AFXZ8	FNMA		4.00			5/1/2026		235,256		250,430
3138AG6Q6	FNMA		4.00			6/1/2026		324,198		345,110
3138AGN95	FNMA		4.50			7/1/2041		3,815,905		4,102,690
3138AGQB7	FNMA		4.00			4/1/2026		271,663		289,186
3138AGQQ4	FNMA		4.00			5/1/2026		98,519		104,873
3138AHLW4	FNMA		4.00			9/1/2041		414,441		441,457
3138AHQC3	FNMA		4.50			9/1/2041		793,589		853,231

Allied World Assurance Company Holdings, AG   Securities Listing as at June 30, 2012

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
3138AHTD8	FNMA		5.00		6/1/2041		239,856		262,329
3138AKEL9	FNMA		4.00		5/1/2026		150,555		160,266
3138AKNK1	FNMA		4.00		8/1/2041		660,122		703,154
3138AMFV2	FNMA		4.00		8/1/2041		529,064		563,553
3138AMMX0	FNMA		4.00		9/1/2041		763,710		813,495
3138ANBY8	FNMA		4.00		8/1/2041		285,492		304,102
3138ANPU1	FNMA		4.00		8/1/2041		8,793,818		9,367,070
3138ANWY5	FNMA		4.00		8/1/2041		243,179		259,031
3138ANZG1	FNMA		4.50		8/1/2041		215,602		231,806
3138ARZ56	FNMA		4.00		9/1/2041		4,097,481		4,364,588
3138AS2J0	FNMA		4.50		9/1/2041		2,006,523		2,157,324
3138AS4N9	FNMA		4.50		9/1/2041		2,786,328		2,995,735
3138ASBV3	FNMA		4.00		9/1/2041		765,846		815,770
3138AT4B3	FNMA		4.00		5/1/2042		911,971		976,033
3138ATEX4	FNMA		4.00		10/1/2041		2,165,162		2,306,304
3138ATGX2	FNMA		4.00		10/1/2041		342,193		364,500
3138ATWG1	FNMA		4.00		1/1/2042		1,337,680		1,424,881
3138AUNW3	FNMA		4.00		12/1/2041		51,587		54,950
3138AUP84	FNMA		4.50		10/1/2041		54,426		58,517
3138AUW37	FNMA		4.00		10/1/2041		457,907		487,757
3138AVDY8	FNMA		4.00		10/1/2041		635,989		677,448
3138AVQB4	FNMA		4.00		10/1/2041		397,647		423,569
3138AVQD0	FNMA		4.00		10/1/2041		828,313		882,309
3138AVWL5	FNMA		4.00		10/1/2041		709,536		755,789
3138AW3N1	FNMA		4.00		11/1/2041		73,929		78,748
3138AX3G4	FNMA		4.00		12/1/2041		64,381		68,578
3138AX5G2	FNMA		4.00		2/1/2042		278,557		298,124
3138AXAC5	FNMA		4.00		11/1/2041		1,640,928		1,747,897
3138AXHV6	FNMA		4.00		11/1/2041		182,872		194,793
3138AXSC6	FNMA		4.00		11/1/2041		383,495		408,494
3138AXSD4	FNMA		4.00		11/1/2041		925,308		985,627
3138AXSS1	FNMA		4.00		11/1/2041		700,586		746,256
3138AXT27	FNMA		4.00		12/1/2041		987,676		1,052,061
3138AXTP6	FNMA		4.00		12/1/2041		14,786,491		15,750,395
3138AYT41	FNMA		4.00		12/1/2041		269,007		286,543
3138E03K3	FNMA		4.00		1/1/2042		644,820		690,116
3138E06D6	FNMA		4.00		12/1/2041		53,873		57,385
3138E06H7	FNMA		4.00		12/1/2041		1,744,351		1,858,062
3138E0X53	FNMA		4.00		12/1/2041		3,147,857		3,353,060
3138E1JJ7	FNMA		4.00		1/1/2042		138,705		147,747
3138E1ND5	FNMA		4.00		12/1/2041		1,680,918		1,790,494
3138E2GH2	FNMA		4.00		1/1/2042		3,259,476		3,471,955
3138E2TP0	FNMA		4.00		1/1/2042		399,999		426,075
3138E4EB3	FNMA		2.50		3/1/2027		1,719,282		1,774,849
3138E4F89	FNMA		4.00		2/1/2042		115,327		123,428
3138E5FZ6	FNMA		4.00		1/1/2042		267,624		285,070
3138E5JB5	FNMA		4.00		2/1/2042		317,532		339,837
3138E7HR8	FNMA		2.50		4/1/2027		4,079,289		4,211,132
3138E7JB1	FNMA		2.50		4/1/2027		1,010,189		1,042,251
3138E8KX9	FNMA		2.50		4/1/2027		4,280,714		4,416,577

Allied World Assurance Company Holdings, AG   Securities Listing as at June 30, 2012

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
3138E8L75	FNMA		2.50		5/1/2027		5,687,725		5,871,552
3138EBLJ2	FNMA		4.00		5/1/2042		185,514		198,545
3138EBTC9	FNMA		3.50		4/1/2042		22,386,129		23,548,279
3138ECAA1	FNMA		2.50		4/1/2027		2,584,233		2,667,755
3138ECLK7	FNMA		4.00		5/1/2042		499,280		534,352
3138ECLU5	FNMA		4.00		5/1/2042		499,323		534,398
3138ECTY9	FNMA		2.50		3/1/2027		857,671		884,892
3138ECWS8	FNMA		2.50		4/1/2027		5,470,404		5,647,208
3138ECYM9	FNMA		2.50		3/1/2027		920,707		949,929
3138ECYV9	FNMA		2.50		4/1/2027		1,000,000		1,031,738
3138EGF58	FNMA		5.00		5/1/2041		4,763,355		5,159,629
3138EGH72	FNMA		4.00		3/1/2026		1,239,055		1,317,440
3138EGHV9	FNMA		4.00		1/1/2026		177,544		188,776
3138EGHW7	FNMA		5.00		4/1/2041		844,468		919,656
3138EGKX1	FNMA		6.00		1/1/2040		8,046,748		8,828,790
3138EGQJ6	FNMA		5.00		6/1/2041		706,754		765,550
3138EGSJ4	FNMA		5.50		7/1/2041		1,056,684		1,149,857
3138EGTA2	FNMA		5.00		2/1/2038		3,657,643		3,962,556
3138EGWU4	FNMA		4.50		8/1/2041		3,804,227		4,090,135
3138EH2P6	FNMA		4.00		3/1/2042		295,897		315,186
3138EHBB7	FNMA		5.00		10/1/2041		32,768,375		35,731,264
3138EHBC5	FNMA		5.00		2/1/2041		5,732,512		6,242,909
3138EJCC0	FNMA		4.00		3/1/2042		4,620,218		4,921,401
3138LQES9	FNMA		4.00		4/1/2042		886,395		948,661
3138LQSU9	FNMA		2.50		6/1/2027		6,529,593		6,736,832
3138LRYZ9	FNMA		2.50		5/1/2027		6,405,573		6,612,602
3138LSAP5	FNMA		4.00		6/1/2042		300,000		321,232
3138LTZ43	FNMA		2.50		5/1/2027		2,142,329		2,211,569
3138LUTW5	FNMA		4.00		6/1/2042		3,700,000		3,961,859
3138LUZP3	FNMA		2.50		5/1/2027		1,312,273		1,354,685
3138LVN25	FNMA		4.00		6/1/2042		600,000		642,464
3138LXQM4	FNMA		4.00		6/1/2042		2,200,000		2,355,700
3138LXQN2	FNMA		4.00		5/1/2042		1,500,000		1,606,159
3138M1FX1	FNMA		4.00		7/1/2042		1,300,000		1,392,004
3138M1FY9	FNMA		4.00		7/1/2042		800,000		856,618
3138NJAE8	FNMA		3.63		12/1/2020		2,257,565		2,468,760
3138NJAK4	FNMA		3.42		10/1/2020		3,040,983		3,285,204
31391YV87	FNMA		6.00		1/1/2033		2,519		2,800
31400JM55	FNMA		5.50		5/1/2033		1,663		1,832
31400QJ87	FNMA		2.73		3/1/2033		20,243		21,357
31402GP98	FNMA		5.00		7/1/2033		6,202		6,863
31402QXK2	FNMA		8.50		2/1/2031		589,949		672,541
31402RF87	FNMA		5.00		6/1/2035		5,427,300		5,879,736
31402RSN0	FNMA		5.00		10/1/2035		9,453,725		10,221,679
31402YSV7	FNMA		3.00		9/1/2033		25,674		27,511
31403DC56	FNMA		4.50		12/1/2020		1,956,120		2,095,572
31403DC72	FNMA		4.50		11/1/2020		1,529,073		1,645,528
31403DJG5	FNMA		5.50		8/1/2034		19,862		21,773
31403KDB6	FNMA		2.57		12/1/2033		10,789		11,180
31404MAB4	FNMA		5.50		3/1/2034		7,503		8,225

Allied World Assurance Company Holdings, AG   Securities Listing as at June 30, 2012

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
31404MK98	FNMA		6.00		9/1/2034		2,274		2,525
31404NBP0	FNMA		2.60		2/1/2035		119,830		128,662
31404SFP5	FNMA		5.50		4/1/2034		5,517		6,071
31405NQY4	FNMA		6.00		9/1/2034		24,908		27,660
31405QNR5	FNMA		5.50		10/1/2034		998		1,098
31405UMM8	FNMA		2.33		10/1/2034		117,727		126,062
31405UTZ2	FNMA		2.27		11/1/2034		29,082		30,641
31406BB90	FNMA		2.49		1/1/2035		181,669		194,882
31406BEZ9	FNMA		2.45		12/1/2034		152,345		163,247
31406BJF8	FNMA		2.57		1/1/2035		186,288		198,307
31406BQQ6	FNMA		2.67		1/1/2035		238,429		255,615
31406DG67	FNMA		2.53		11/1/2034		804,021		858,996
31406EDN1	FNMA		5.00		1/1/2035		61,383		66,500
31406MYP5	FNMA		2.49		3/1/2035		368,318		388,586
31406RNA9	FNMA		6.00		11/1/2035		6,271		6,927
31406TLC3	FNMA		2.93		4/1/2035		355,894		378,182
31406TWR8	FNMA		2.12		1/1/2035		866,331		903,192
31406VHE9	FNMA		2.79		5/1/2035		187,078		198,442
31406YZV5	FNMA		5.00		8/1/2035		84,898		91,795
31407CE29	FNMA		5.50		7/1/2035		894		984
31407FG53	FNMA		5.50		8/1/2035		2,113		2,325
31407FUW8	FNMA		2.35		8/1/2035		3,017,620		3,126,537
31407VS22	FNMA		5.00		10/1/2035		89,006		96,236
31407VS89	FNMA		5.00		10/1/2035		56,665		61,268
31408AG53	FNMA		6.00		2/1/2036		39,582		43,614
31408FYG8	FNMA		6.00		1/1/2036		6,590		7,230
31408GFA0	FNMA		6.00		12/1/2035		406,835		449,388
31408JD32	FNMA		5.00		2/1/2036		1,886,422		2,039,661
31409A5P0	FNMA		6.00		3/1/2036		127,410		140,390
31409AYE3	FNMA		6.00		3/1/2036		336,288		370,589
31409CRY3	FNMA		6.00		2/1/2036		251,742		277,388
31409GM78	FNMA		6.00		7/1/2036		28,597		31,377
31409GML7	FNMA		6.50		7/1/2036		1,190,392		1,337,435
31409JVL1	FNMA		6.00		6/1/2036		1,594,999		1,750,055
31409UB38	FNMA		6.00		3/1/2036		44,062		48,346
31409VYW7	FNMA		6.00		4/1/2036		66,542		73,321
31409WAE1	FNMA		6.00		4/1/2036		638,544		702,597
31410CJV5	FNMA		6.00		5/1/2036		18,039		19,879
31410CMD1	FNMA		6.00		6/1/2036		372,158		408,337
31410FUS2	FNMA		5.50		12/1/2036		90,320		98,302
31410FVW2	FNMA		5.50		2/1/2037		6,065		6,601
31410FVY8	FNMA		5.50		2/1/2037		2,138,076		2,327,021
31410GD83	FNMA		2.43		4/1/2034		68,331		73,292
31410GDF7	FNMA		2.17		6/1/2033		269,363		286,233
31410GDL4	FNMA		2.32		2/1/2035		1,163,270		1,241,214
31410GDN0	FNMA		2.33		6/1/2033		188,577		200,630
31410GDP5	FNMA		2.38		6/1/2035		2,960,413		3,116,808
31410GDY6	FNMA		2.48		1/1/2035		63,182		67,359
31410GGR8	FNMA		6.00		5/1/2037		683,077		749,481
31410KEM2	FNMA		5.50		4/1/2038		5,543,710		6,033,068

Allied World Assurance Company Holdings, AG   Securities Listing as at June 30, 2012

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
31410KGQ1	FNMA		6.00		5/1/2038		6,108,865		6,700,647
31410KLD4	FNMA		5.50		5/1/2038		1,233,071		1,341,797
31410KMQ4	FNMA		5.50		6/1/2038		678,225		738,027
31410KNA8	FNMA		5.50		7/1/2038		293,324		319,188
31410KS47	FNMA		5.50		12/1/2035		9,432		10,340
31410KX74	FNMA		5.50		9/1/2036		5,272,221		5,785,744
31410LBU5	FNMA		4.00		9/1/2025		2,294,267		2,438,086
31410LC91	FNMA		5.50		2/1/2041		7,441,640		8,097,804
31410LCE0	FNMA		4.00		11/1/2040		698,452		743,593
31410MMX5	FNMA		6.00		4/1/2036		360,620		397,358
31410NT24	FNMA		6.00		7/1/2036		32,503		35,713
31410QR86	FNMA		5.50		11/1/2036		218,700		238,027
31410RDL0	FNMA		6.00		8/1/2036		36,816		40,395
31410VDU1	FNMA		6.00		10/1/2036		404,350		443,658
31410WSE9	FNMA		6.00		9/1/2037		116,201		127,603
31411A5M3	FNMA		5.50		12/1/2036		14,001,510		15,238,846
31411A7C3	FNMA		5.50		12/1/2036		3,516,777		3,827,560
31411E2F3	FNMA		5.50		1/1/2037		29,394		31,991
31411EFN2	FNMA		5.50		12/1/2036		480,075		522,500
31411KLN1	FNMA		5.50		3/1/2037		343,003		373,281
31411LUV1	FNMA		5.00		4/1/2037		229,306		247,589
31411NUT2	FNMA		5.50		2/1/2037		499,930		544,060
31411URL7	FNMA		5.50		4/1/2037		552,448		601,214
31411VMN6	FNMA		5.50		3/1/2037		15,639,533		17,020,074
31412ACH5	FNMA		5.50		4/1/2037		194,955		212,164
31412DXY9	FNMA		5.50		1/1/2037		51,696		56,265
31412ESY3	FNMA		6.00		1/1/2037		38,980		42,951
31412HXU8	FNMA		6.00		10/1/2038		327,558		359,290
31412MYZ5	FNMA		5.50		6/1/2038		601,631		654,680
31412N6G6	FNMA		4.50		3/1/2039		67,548		74,149
31412NXE1	FNMA		5.00		1/1/2039		1,887,930		2,054,389
31412NZ33	FNMA		5.00		2/1/2039		66,747		74,356
31412PBJ9	FNMA		4.50		3/1/2024		23,322,112		25,008,024
31412PP88	FNMA		5.00		5/1/2039		201,143		222,566
31412PRN3	FNMA		4.00		5/1/2024		5,074,560		5,392,665
31412PXF3	FNMA		4.50		6/1/2039		105,558		113,278
31412Q2V0	FNMA		4.50		1/1/2040		3,288,614		3,529,111
31412Q2Y4	FNMA		4.50		1/1/2040		3,094,118		3,316,226
31412QE70	FNMA		5.00		8/1/2039		4,155,697		4,629,485
31412QKA6	FNMA		4.00		9/1/2024		55,579		59,063
31412QPQ6	FNMA		6.00		1/1/2036		1,847,818		2,041,091
31412RAP2	FNMA		4.00		9/1/2035		20,596		22,000
31412RG76	FNMA		4.00		4/1/2025		3,272,173		3,522,257
31412RGG6	FNMA		5.00		4/1/2040		363,310		395,114
31412RH42	FNMA		5.00		4/1/2040		9,811,884		10,621,756
31412RL54	FNMA		4.00		12/1/2040		1,557,218		1,657,862
31412RNY9	FNMA		4.00		1/1/2041		93,381		99,961
31412T6Y4	FNMA		6.00		2/1/2039		2,714,001		3,005,754
31412TKJ1	FNMA		6.00		11/1/2038		5,109,169		5,621,678
31412TM26	FNMA		5.50		6/1/2038		3,993,664		4,355,794

Allied World Assurance Company Holdings, AG   Securities Listing as at June 30, 2012

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
31412UEQ9	FNMA		4.50		9/1/2039		443,657		490,202
31412URR3	FNMA		4.00		7/1/2024		5,838,640		6,204,642
31412V4G0	FNMA		5.50		7/1/2037		303,362		330,141
31413BTW1	FNMA		5.50		6/1/2037		4,155,803		4,522,646
31413CLH0	FNMA		6.00		7/1/2037		3,920,124		4,319,977
31413DX51	FNMA		6.00		8/1/2037		52,077		57,138
31413ES55	FNMA		5.50		8/1/2037		11,092		12,071
31413F4X7	FNMA		6.00		7/1/2037		65,813		72,209
31413HKW7	FNMA		6.00		8/1/2037		17,679		19,398
31413LN47	FNMA		6.00		8/1/2037		645,091		707,785
31413NY66	FNMA		6.00		11/1/2037		3,031,824		3,341,070
31413R2P0	FNMA		6.00		12/1/2037		4,380,393		4,826,642
31413TK68	FNMA		5.50		12/1/2037		294,816		320,841
31413TWV0	FNMA		5.50		1/1/2038		448,322		487,896
31413UKQ1	FNMA		6.50		10/1/2037		1,453,093		1,632,420
31413UUD9	FNMA		5.50		1/1/2038		118,732		129,213
31414ANH1	FNMA		5.50		12/1/2037		703,412		765,504
31414GWU9	FNMA		5.50		2/1/2038		470,406		511,884
31414HZ67	FNMA		5.50		12/1/2037		269,496		293,285
31414LYR3	FNMA		5.00		3/1/2038		219,102		236,550
31414NCH5	FNMA		6.00		12/1/2038		1,766,823		1,946,816
31414NH31	FNMA		5.00		2/1/2039		1,948,560		2,170,714
31414NH49	FNMA		5.00		2/1/2039		2,251,680		2,491,504
31414SX81	FNMA		5.50		6/1/2038		574,033		624,649
31415BJE0	FNMA		5.50		7/1/2038		82,950		90,265
31415P3Y2	FNMA		5.50		4/1/2034		6,805		7,468
31415QK54	FNMA		6.00		6/1/2038		321,497		352,641
31415QTY2	FNMA		6.00		7/1/2038		1,462,310		1,608,997
31415SPY2	FNMA		6.00		12/1/2038		583,303		639,809
31415SRP9	FNMA		5.50		11/1/2038		358,381		389,982
31415VLC7	FNMA		6.00		9/1/2038		356,596		392,367
31415WA60	FNMA		4.50		1/1/2039		61,678		68,149
31415YLZ0	FNMA		4.00		7/1/2024		1,382,114		1,468,754
31415YXG9	FNMA		4.00		5/1/2039		2,231,946		2,374,424
31416AQ29	FNMA		4.00		7/1/2024		249,114		264,730
31416BK72	FNMA		5.50		6/1/2038		580,375		631,606
31416BMK1	FNMA		5.00		2/1/2038		446,600		482,482
31416BRU4	FNMA		6.00		5/1/2037		938,489		1,036,651
31416BTB4	FNMA		5.00		12/1/2035		1,251,748		1,353,432
31416H2K0	FNMA		4.00		4/1/2039		30,047		31,965
31416H2M6	FNMA		5.00		4/1/2039		29,891		32,378
31416HQ24	FNMA		4.00		3/1/2039		87,554		93,143
31416HQM0	FNMA		4.00		2/1/2039		156,221		166,193
31416JZM6	FNMA		5.00		2/1/2039		2,707,355		2,930,820
31416M3A0	FNMA		4.00		4/1/2039		955,109		1,016,079
31416M5A8	FNMA		5.00		3/1/2039		2,678,804		2,935,659
31416M6W9	FNMA		5.00		4/1/2039		30,656		33,748
31416MLA0	FNMA		4.50		3/1/2039		35,026		38,448
31416MTX2	FNMA		4.00		8/1/2039		78,763		83,791
31416MVP6	FNMA		4.50		4/1/2039		72,238		79,297

Allied World Assurance Company Holdings, AG   Securities Listing as at June 30, 2012

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
31416MX82	FNMA		4.00		4/1/2039		319,660		340,065
31416MYQ1	FNMA		4.00		4/1/2039		39,216		41,719
31416N5T5	FNMA		4.50		4/1/2039		186,695		204,939
31416NC42	FNMA		4.50		4/1/2039		19,332,089		20,719,820
31416NRD6	FNMA		4.50		3/1/2039		22,077		24,234
31416NS29	FNMA		4.00		4/1/2039		32,614		34,696
31416PP27	FNMA		4.00		6/1/2039		491,895		523,296
31416QJZ9	FNMA		5.00		5/1/2039		86,329		96,171
31416QMS1	FNMA		4.00		6/1/2024		805,739		856,247
31416RH30	FNMA		4.00		5/1/2039		27,444		29,196
31416RR47	FNMA		4.00		7/1/2039		124,372		132,312
31416RSJ3	FNMA		4.00		8/1/2039		846,972		901,039
31416S6B2	FNMA		4.50		7/1/2039		106,364		114,142
31416SD40	FNMA		4.50		7/1/2039		99,577		106,859
31416SED9	FNMA		5.00		7/1/2039		74,207		80,332
31416SLC3	FNMA		4.50		6/1/2039		113,176		121,453
31416TAG4	FNMA		4.50		7/1/2039		143,585		154,086
31416TAL3	FNMA		5.00		7/1/2039		83,027		92,493
31416TE47	FNMA		4.50		8/1/2039		104,630		114,855
31416TEE5	FNMA		4.50		8/1/2039		145,754		156,413
31416TEF2	FNMA		4.50		8/1/2039		101,791		111,739
31416TKG3	FNMA		5.00		6/1/2039		89,603		96,999
31416TME6	FNMA		4.00		8/1/2039		338,302		359,898
31416TML0	FNMA		4.00		8/1/2039		33,856		36,018
31416VKN3	FNMA		6.00		12/1/2038		871,382		958,520
31416WD66	FNMA		5.00		5/1/2040		623,679		678,275
31416WE57	FNMA		5.00		5/1/2040		9,827,101		10,638,230
31416WFG2	FNMA		4.00		5/1/2025		21,306		22,653
31416WU26	FNMA		4.00		9/1/2040		1,215,539		1,294,100
31416WZV7	FNMA		4.00		10/1/2040		113,789		121,143
31416XJ92	FNMA		4.00		1/1/2041		573,624		610,697
31416XKB5	FNMA		4.00		1/1/2041		198,016		210,814
31416XYZ7	FNMA		4.00		3/1/2041		994,901		1,059,756
31416Y6N3	FNMA		4.00		9/1/2041		34,504		36,753
31416YDN5	FNMA		4.00		4/1/2041		37,560		40,008
31416YLM8	FNMA		4.50		5/1/2041		2,114,324		2,273,227
31416YU89	FNMA		4.00		7/1/2041		2,471,359		2,632,462
31416YVF2	FNMA		4.50		7/1/2041		10,469,549		11,256,392
31416YYN2	FNMA		4.00		8/1/2041		39,600		42,181
31417A5Q8	FNMA		4.00		2/1/2042		128,092		137,437
31417AES4	FNMA		4.00		10/1/2041		398,525		424,504
31417AET2	FNMA		4.00		10/1/2041		89,913		95,774
31417AEV7	FNMA		4.00		10/1/2041		313,810		334,267
31417AL23	FNMA		4.00		11/1/2041		459,843		489,819
31417ALX5	FNMA		4.00		11/1/2041		62,712		66,801
31417ALZ0	FNMA		4.00		11/1/2041		1,220,201		1,299,743
31417AS34	FNMA		4.00		11/1/2039		291,219		309,809
31417ASD2	FNMA		4.00		12/1/2041		1,681,242		1,790,839
31417J2B5	FNMA		5.00		9/1/2039		51,956		56,244
31417JSB7	FNMA		4.50		7/1/2039		33,440		35,886

Allied World Assurance Company Holdings, AG   Securities Listing as at June 30, 2012

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
31417KSE8	FNMA		4.00		8/1/2039		234,659		249,638
31417KUM7	FNMA		4.00		8/1/2039		140,692		149,674
31417KXH5	FNMA		4.50		8/1/2039		2,983,465		3,296,461
31417LLX1	FNMA		5.00		7/1/2039		123,448		137,522
31417M2V4	FNMA		4.50		8/1/2039		71,215		78,686
31417M2W2	FNMA		4.50		8/1/2039		17,169		18,847
31417MDX8	FNMA		4.00		10/1/2039		50,941		54,193
31417MFB4	FNMA		4.50		8/1/2039		198,807		218,328
31417MH63	FNMA		4.00		9/1/2039		131,223		139,599
31417MPN7	FNMA		5.00		9/1/2039		89,230		96,595
31417MQT3	FNMA		5.00		10/1/2039		58,539		63,371
31417MTC7	FNMA		4.50		9/1/2039		450,674		497,954
31417MVC4	FNMA		4.50		10/1/2039		403,137		445,430
31417MYL1	FNMA		4.50		11/1/2039		3,513,762		3,765,993
31417QKE3	FNMA		4.00		10/1/2039		284,030		302,162
31417QR97	FNMA		4.00		1/1/2040		116,946		124,504
31417QS62	FNMA		4.00		10/1/2024		17,477		18,573
31417QT20	FNMA		4.00		10/1/2039		23,365		24,857
31417SYT1	FNMA		4.50		11/1/2039		81,080		89,003
31417UXN0	FNMA		4.00		2/1/2025		98,000		104,199
31417VJS3	FNMA		4.50		12/1/2039		24,873		26,692
31417VQR7	FNMA		4.00		1/1/2040		857,835		913,277
31417VQT3	FNMA		4.50		1/1/2040		1,626,844		1,797,516
31417VQW6	FNMA		4.50		1/1/2040		4,700,390		5,044,290
31417VYY3	FNMA		4.00		2/1/2025		248,561		264,285
31417Y3H8	FNMA		4.00		7/1/2026		1,261,716		1,343,098
31417Y6Q5	FNMA		4.00		10/1/2031		4,426,268		4,760,500
31417YC54	FNMA		4.00		6/1/2039		97,810		104,053
31417YCN5	FNMA		4.00		5/1/2039		34,859		37,084
31417YF44	FNMA		4.00		9/1/2039		61,871		65,821
31417YSC2	FNMA		4.00		9/1/2040		1,612,554		1,716,773
31417YSX6	FNMA		4.00		10/1/2040		1,046,266		1,113,886
31417YTT4	FNMA		4.00		11/1/2040		3,656,953		3,893,302
31417YUH8	FNMA		4.00		12/1/2040		3,708,712		3,948,407
31417YVG9	FNMA		4.00		1/1/2041		1,545,814		1,645,720
31417YW37	FNMA		4.00		2/1/2041		343,342		365,724
31417YX51	FNMA		4.00		4/1/2041		673,493		717,397
31417YXX0	FNMA		4.50		4/1/2041		1,961,209		2,108,605
31418AEA2	FNMA		4.00		4/1/2042		408,946		437,673
31418AGR3	FNMA		3.50		7/1/2032		2,500,000		2,643,679
31418AHY7	FNMA		4.00		8/1/2042		1,000,000		1,079,219
31418MC91	FNMA		6.00		11/1/2038		596,754		654,751
31418MT93	FNMA		4.50		1/1/2040		1,530,155		1,639,996
31418MUL4	FNMA		4.50		12/1/2039		707,574		759,319
31418PCP8	FNMA		5.00		9/1/2040		193,475		210,701
31418PGL3	FNMA		4.00		3/1/2040		19,340		20,590
31418RHE4	FNMA		4.00		4/1/2025		366,946		390,160
31418SJB6	FNMA		4.00		4/1/2025		28,112		29,890
31418UCZ5	FNMA		4.00		5/1/2025		177,606		188,841
31418UVY7	FNMA		4.00		6/1/2025		302,593		321,736

Allied World Assurance Company Holdings, AG   Securities Listing as at June 30, 2012

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
31418UYE8	FNMA		4.00		5/1/2039		23,659		25,212
31418V4T6	FNMA		4.00		8/1/2040		3,251,384		3,461,521
31418VQY1	FNMA		4.00		8/1/2040		99,463		105,891
31418W6Y1	FNMA		5.00		9/1/2040		419,185		455,881
31418W7J3	FNMA		5.00		9/1/2040		338,302		367,917
31418WPG9	FNMA		4.00		8/1/2040		434,911		463,019
31418X5S3	FNMA		4.00		9/1/2040		821,531		874,627
31418X7J1	FNMA		4.00		8/1/2040		1,062,895		1,131,590
31418XF52	FNMA		4.50		9/1/2040		10,417,839		11,180,050
31418XML9	FNMA		4.00		9/1/2040		286,770		305,304
31418YAG1	FNMA		4.00		8/1/2040		23,182		24,680
31419A4T1	FNMA		6.00		6/1/2038		14,123		15,495
31419AG35	FNMA		4.50		8/1/2040		3,790,866		4,068,221
31419AG43	FNMA		4.50		8/1/2040		4,715,118		5,060,095
31419AK22	FNMA		4.00		9/1/2040		38,908		41,422
31419ANB9	FNMA		4.00		9/1/2040		307,021		326,864
31419ANK9	FNMA		5.50		10/1/2039		1,597,763		1,738,645
31419AX44	FNMA		4.50		12/1/2040		16,499,448		17,706,615
31419B4T9	FNMA		4.00		9/1/2040		119,802		127,544
31419B5X9	FNMA		4.00		9/1/2040		876,131		932,755
31419BBT1	FNMA		4.00		2/1/2041		6,003,696		6,391,716
31419BT39	FNMA		4.00		9/1/2040		113,436		120,768
31419BW68	FNMA		4.00		9/1/2040		176,575		187,987
31419BYQ2	FNMA		4.00		10/1/2040		706,271		751,917
31419CD34	FNMA		4.00		9/1/2040		118,998		126,689
31419CD42	FNMA		4.00		9/1/2040		24,372		25,947
31419CZ48	FNMA		4.00		9/1/2040		410,008		436,507
31419CZ89	FNMA		4.00		9/1/2040		481,176		512,274
31419CZZ9	FNMA		4.00		9/1/2040		1,357,629		1,445,373
31419D4K4	FNMA		4.00		3/1/2041		319,194		340,002
31419DDV0	FNMA		4.00		10/1/2041		41,749		44,470
31419DHU8	FNMA		4.00		9/1/2040		34,282		36,498
31419DJY8	FNMA		4.00		8/1/2025		5,123,523		5,447,650
31419DLW9	FNMA		4.00		9/1/2040		821,306		874,388
31419DTQ4	FNMA		5.00		9/1/2040		692,159		753,786
31419E6N4	FNMA		4.00		3/1/2041		1,842,658		1,962,777
31419ED71	FNMA		4.00		12/1/2040		474,999		505,699
31419EJR1	FNMA		4.00		10/1/2040		329,502		350,798
31419EK40	FNMA		4.00		11/1/2040		134,280		144,581
31419EK65	FNMA		4.00		11/1/2040		1,639,452		1,745,411
31419ENB1	FNMA		5.00		9/1/2040		1,359,279		1,488,763
31419ESN0	FNMA		4.00		10/1/2040		2,829,371		3,012,233
31419EU80	FNMA		5.00		9/1/2040		268,740		292,266
31419EXU8	FNMA		4.00		9/1/2040		105,792		112,629
31419EYE3	FNMA		4.00		9/1/2040		87,292		92,934
31419EYJ2	FNMA		4.00		9/1/2040		684,445		728,681
31419FCP9	FNMA		4.00		6/1/2026		2,110,516		2,246,648
31419FEM4	FNMA		4.50		10/1/2040		3,985,491		4,277,086
31419FFW1	FNMA		4.00		11/1/2040		76,926		81,898
31419FNE2	FNMA		4.00		10/1/2040		1,737,652		1,849,957

Allied World Assurance Company Holdings, AG   Securities Listing as at June 30, 2012

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
31419FSH0	FNMA		4.00		12/1/2025		83,415		88,692
31419FUH7	FNMA		4.00		9/1/2040		111,794		119,020
31419FVS2	FNMA		3.50		10/1/2040		7,091,573		7,456,627
31419FVW3	FNMA		4.00		10/1/2040		320,972		341,716
31419FWH5	FNMA		4.00		11/1/2040		328,166		349,375
31419FWK8	FNMA		4.00		10/1/2040		110,078		117,192
31419FWS1	FNMA		4.00		11/1/2040		378,910		403,399
31419G2T0	FNMA		4.00		11/1/2040		38,303		40,779
31419G4Q4	FNMA		4.00		12/1/2040		97,626		103,936
31419GB94	FNMA		4.00		10/1/2040		618,172		658,125
31419GBX1	FNMA		3.50		10/1/2040		305,649		321,383
31419GJA3	FNMA		4.00		10/1/2040		41,490		44,172
31419GRA4	FNMA		4.00		11/1/2040		1,982,122		2,110,227
31419GXN9	FNMA		4.00		10/1/2040		8,952,423		9,531,020
31419GYT5	FNMA		4.00		10/1/2040		32,286,331		34,373,000
31419H6W7	FNMA		4.00		11/1/2040		236,349		251,625
31419H6Y3	FNMA		4.00		11/1/2040		49,390		52,583
31419HBS0	FNMA		4.00		11/1/2040		339,502		361,444
31419HC67	FNMA		4.00		2/1/2041		2,261,039		2,408,432
31419HKM3	FNMA		3.50		10/1/2040		1,629,309		1,713,181
31419HKN1	FNMA		4.00		10/1/2040		418,305		445,340
31419HKS0	FNMA		4.00		10/1/2040		258,157		274,842
31419HRZ7	FNMA		4.00		11/1/2040		355,345		378,312
31419HVP4	FNMA		4.00		11/1/2040		232,781		247,825
31419JA40	FNMA		4.00		12/1/2040		366,885		390,597
31419JCA4	FNMA		4.00		1/1/2041		32,792		34,930
31419JCB2	FNMA		4.00		1/1/2041		178,025		189,530
31419JDU9	FNMA		4.00		11/1/2040		1,065,850		1,134,736
31419JLP1	FNMA		4.00		11/1/2040		145,602		155,012
31419JLR7	FNMA		4.00		10/1/2040		38,664		41,163
31419JMH8	FNMA		4.00		11/1/2040		159,177		169,464
31419JN79	FNMA		3.50		11/1/2040		220,693		232,053
31419JP36	FNMA		4.00		11/1/2040		75,439		80,315
31419JRF7	FNMA		4.00		10/1/2040		168,356		179,237
31419JSM1	FNMA		4.00		11/1/2040		1,400,640		1,491,163
31419JWT1	FNMA		4.00		12/1/2040		116,995		124,556
31419JZ43	FNMA		3.50		12/1/2040		3,665,486		3,854,175
31419KGS8	FNMA		4.00		11/1/2040		40,737		43,370
31419KR49	FNMA		4.00		11/1/2040		70,868		75,448
31419KUB9	FNMA		4.00		11/1/2040		93,764		99,824
31419KVG7	FNMA		3.50		11/1/2040		1,347,419		1,416,780
31419KVH5	FNMA		4.00		11/1/2040		3,344,582		3,560,743
31419LH22	FNMA		4.00		11/1/2040		76,602		81,552
31419LN66	FNMA		4.00		12/1/2040		90,858		96,730
31419LYC1	FNMA		4.00		12/1/2040		13,512,898		14,386,239
31419LYE7	FNMA		4.50		11/1/2040		167,520		179,777
31419LZ63	FNMA		4.00		12/1/2040		91,296		97,196
31421AAU7	FNMA		5.50		12/1/2038		4,627		5,049
31283HVE2	FHLMC GOLD		6.00		3/1/2033		14,139		15,710
31283HWZ4	FHLMC GOLD		6.00		4/1/2033		9,681		10,757

Allied World Assurance Company Holdings, AG   Securities Listing as at June 30, 2012

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
31283K4C9	FHLMC GOLD		5.00		6/1/2020		5,799,668		6,250,178
31283KJU3	FHLMC GOLD		6.50		12/1/2014		258,126		280,228
31283KN87	FHLMC GOLD		5.00		9/1/2017		1,847		1,983
3128GNW87	FHLMC GOLD		5.00		11/1/2016		2,187		2,339
3128GNY77	FHLMC GOLD		5.00		11/1/2016		11,325		12,196
3128GP3U5	FHLMC GOLD		5.00		1/1/2017		1,823		1,949
3128GP3V3	FHLMC GOLD		5.00		1/1/2017		9,791		10,544
3128GP4U4	FHLMC GOLD		5.00		1/1/2017		3,365		3,598
3128GP7M9	FHLMC GOLD		5.00		1/1/2017		1,163		1,249
3128GPSA2	FHLMC GOLD		5.00		12/1/2016		2,230		2,385
3128GQ3Q2	FHLMC GOLD		5.00		2/1/2017		3,409		3,660
3128GQ6E6	FHLMC GOLD		5.00		2/1/2017		3,331		3,580
3128GQGA3	FHLMC GOLD		5.00		1/1/2017		4,343		4,677
3128GQJT9	FHLMC GOLD		5.00		1/1/2017		3,897		4,167
3128GQK26	FHLMC GOLD		5.00		1/1/2017		7,569		8,135
3128GQK34	FHLMC GOLD		5.00		1/1/2017		1,406		1,503
3128GQKB6	FHLMC GOLD		5.00		1/1/2017		2,196		2,349
3128GQP54	FHLMC GOLD		5.00		1/1/2017		5,229		5,616
3128GQQQ7	FHLMC GOLD		5.00		2/1/2017		4,306		4,605
3128GQQZ7	FHLMC GOLD		5.00		2/1/2017		11,247		12,088
3128GQSG7	FHLMC GOLD		5.00		2/1/2017		2,266		2,434
3128GQU58	FHLMC GOLD		5.00		2/1/2017		4,519		4,857
3128GQU90	FHLMC GOLD		5.00		2/1/2017		1,194		1,282
3128GQVB4	FHLMC GOLD		5.00		2/1/2017		2,703		2,891
3128GQW31	FHLMC GOLD		5.00		2/1/2017		6,010		6,459
3128GQW49	FHLMC GOLD		5.00		2/1/2017		10,817		11,625
3128GR3Y3	FHLMC GOLD		5.00		2/1/2017		8,702		9,353
3128GR6N4	FHLMC GOLD		5.00		4/1/2017		13,484		14,492
3128GRBH1	FHLMC GOLD		5.00		2/1/2017		4,217		4,529
3128GRBJ7	FHLMC GOLD		5.00		2/1/2017		631		678
3128GRFT1	FHLMC GOLD		5.00		3/1/2017		8,004		8,602
3128GRJD2	FHLMC GOLD		5.00		3/1/2017		2,134		2,293
3128GRK81	FHLMC GOLD		5.00		3/1/2017		1,255		1,349
3128GRLA5	FHLMC GOLD		5.00		3/1/2017		12,793		13,749
3128GRM71	FHLMC GOLD		5.00		3/1/2017		2,017		2,166
3128GRP94	FHLMC GOLD		5.00		3/1/2017		1,040		1,112
3128GRQA0	FHLMC GOLD		5.00		3/1/2017		3,641		3,910
3128GRSP5	FHLMC GOLD		5.00		3/1/2017		3,700		3,957
3128GRSY6	FHLMC GOLD		5.00		3/1/2017		6,096		6,552
3128GRUF4	FHLMC GOLD		5.00		3/1/2017		1,004		1,078
3128GRUT4	FHLMC GOLD		5.00		3/1/2017		5,566		5,953
3128GRWQ8	FHLMC GOLD		5.00		2/1/2017		407		435
3128GRYD5	FHLMC GOLD		5.00		4/1/2017		2,497		2,681
3128GS5Y9	FHLMC GOLD		5.00		4/1/2017		4,645		4,988
3128GSDJ3	FHLMC GOLD		5.00		4/1/2017		6,913		7,430
3128GSGB7	FHLMC GOLD		5.00		4/1/2017		7,420		7,975
3128GSGU5	FHLMC GOLD		5.00		4/1/2017		16,552		17,790
3128GSKE6	FHLMC GOLD		5.00		4/1/2017		13,859		14,895
3128GSKV8	FHLMC GOLD		5.00		4/1/2017		5,149		5,530
3128GSLX3	FHLMC GOLD		5.00		4/1/2017		3,869		4,155

Allied World Assurance Company Holdings, AG   Securities Listing as at June 30, 2012

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
3128GSLY1	FHLMC GOLD		5.00		4/1/2017		7,362		7,912
3128GSNL7	FHLMC GOLD		5.00		4/1/2017		3,782		4,061
3128GSQN0	FHLMC GOLD		5.00		4/1/2017		5,851		6,258
3128GSSN8	FHLMC GOLD		5.00		4/1/2017		12,595		13,537
3128GV2N9	FHLMC GOLD		5.00		10/1/2017		19,874		21,360
3128GV3C2	FHLMC GOLD		5.00		10/1/2017		9,352		10,051
3128GV3D0	FHLMC GOLD		5.00		10/1/2017		18,192		19,551
3128GV3Z1	FHLMC GOLD		5.00		10/1/2017		20,241		21,754
3128GV7G9	FHLMC GOLD		5.00		10/1/2017		4,013		4,309
3128GVBY5	FHLMC GOLD		5.00		8/1/2017		1,085		1,166
3128GVH94	FHLMC GOLD		5.00		9/1/2017		2,298		2,468
3128GVJA9	FHLMC GOLD		5.00		9/1/2017		7,908		8,499
3128GVJB7	FHLMC GOLD		5.00		9/1/2017		5,623		6,038
3128GVJQ4	FHLMC GOLD		5.00		9/1/2017		12,220		13,134
3128GVLF5	FHLMC GOLD		5.00		9/1/2017		4,775		5,107
3128GVLH1	FHLMC GOLD		5.00		9/1/2017		7,086		7,615
3128GVLJ7	FHLMC GOLD		5.00		9/1/2017		11,752		12,631
3128GVMM9	FHLMC GOLD		5.00		8/1/2017		913		980
3128GVNL0	FHLMC GOLD		5.00		9/1/2017		5,252		5,640
3128GVNM8	FHLMC GOLD		5.00		9/1/2017		6,098		6,553
3128GVNN6	FHLMC GOLD		5.00		9/1/2017		8,554		9,286
3128GVNV8	FHLMC GOLD		5.00		9/1/2017		3,828		4,111
3128GVNX4	FHLMC GOLD		5.00		9/1/2017		45,460		48,858
3128GVPM6	FHLMC GOLD		5.00		9/1/2017		4,569		4,911
3128GVPN4	FHLMC GOLD		5.00		9/1/2017		4,230		4,543
3128GVPP9	FHLMC GOLD		5.00		9/1/2017		13,842		14,877
3128GVQH6	FHLMC GOLD		5.00		9/1/2017		13,357		14,355
3128GVRA0	FHLMC GOLD		5.00		9/1/2017		3,477		3,734
3128GVRC6	FHLMC GOLD		5.00		9/1/2017		7,886		8,475
3128GVRE2	FHLMC GOLD		5.00		9/1/2017		6,295		6,760
3128GVRS1	FHLMC GOLD		5.00		9/1/2017		3,226		3,464
3128GVRT9	FHLMC GOLD		5.00		9/1/2017		8,774		9,430
3128GVRY8	FHLMC GOLD		5.00		9/1/2017		42,797		45,995
3128GVT83	FHLMC GOLD		5.00		9/1/2017		15,536		16,698
3128GVTN0	FHLMC GOLD		5.00		9/1/2017		5,395		5,793
3128GVTW0	FHLMC GOLD		5.00		9/1/2017		9,676		10,399
3128GVUD0	FHLMC GOLD		5.00		9/1/2017		1,274		1,368
3128GVUE8	FHLMC GOLD		5.00		9/1/2017		8,120		8,727
3128GVUX6	FHLMC GOLD		5.00		10/1/2017		3,199		3,435
3128GVVE7	FHLMC GOLD		5.00		10/1/2017		21,411		23,011
3128GVVF4	FHLMC GOLD		5.00		10/1/2017		10,344		11,117
3128GVVJ6	FHLMC GOLD		5.00		10/1/2017		16,938		18,204
3128GVVY3	FHLMC GOLD		5.00		10/1/2017		9,252		9,943
3128GVW22	FHLMC GOLD		5.00		9/1/2017		3,020		3,246
3128GVW89	FHLMC GOLD		5.00		10/1/2017		4,805		5,159
3128GVZV5	FHLMC GOLD		5.00		10/1/2017		11,878		12,765
3128GW5Q7	FHLMC GOLD		5.00		11/1/2017		8,600		9,235
3128GW6G8	FHLMC GOLD		5.00		11/1/2017		4,594		4,937
3128GWAQ1	FHLMC GOLD		5.00		10/1/2017		2,182		2,333
3128GWAT5	FHLMC GOLD		5.00		10/1/2017		16,562		17,800

Allied World Assurance Company Holdings, AG   Securities Listing as at June 30, 2012

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
3128GWAU2	FHLMC GOLD		5.00		10/1/2017		20,968		22,535
3128GWB49	FHLMC GOLD		5.00		10/1/2017		1,704		1,831
3128GWB80	FHLMC GOLD		5.00		10/1/2017		10,807		11,615
3128GWBH0	FHLMC GOLD		5.00		10/1/2017		14,911		16,026
3128GWC89	FHLMC GOLD		5.00		10/1/2017		6,113		6,570
3128GWCL0	FHLMC GOLD		5.00		10/1/2017		10,776		11,582
3128GWCW6	FHLMC GOLD		5.00		10/1/2017		3,813		4,098
3128GWDP0	FHLMC GOLD		5.00		10/1/2017		6,809		7,318
3128GWEG9	FHLMC GOLD		5.00		10/1/2017		25,715		27,638
3128GWEK0	FHLMC GOLD		5.00		10/1/2017		6,999		7,516
3128GWEP9	FHLMC GOLD		5.00		10/1/2017		3,082		3,310
3128GWF86	FHLMC GOLD		5.00		10/1/2017		8,028		8,628
3128GWFN3	FHLMC GOLD		5.00		10/1/2017		7,885		8,467
3128GWHH4	FHLMC GOLD		5.00		10/1/2017		6,835		7,346
3128GWJG4	FHLMC GOLD		5.00		11/1/2017		17,787		19,117
3128GWK31	FHLMC GOLD		5.00		10/1/2017		9,693		10,417
3128GWK56	FHLMC GOLD		5.00		11/1/2017		9,078		9,757
3128GWMS4	FHLMC GOLD		5.00		11/1/2017		5,017		5,388
3128GWP85	FHLMC GOLD		5.00		11/1/2017		5,462		5,865
3128GWQ27	FHLMC GOLD		5.00		11/1/2017		12,187		13,098
3128GWQ92	FHLMC GOLD		5.00		11/1/2017		9,520		10,232
3128GWQN1	FHLMC GOLD		5.00		11/1/2017		8,968		9,638
3128GWQY7	FHLMC GOLD		5.00		11/1/2017		4,025		4,323
3128GWR42	FHLMC GOLD		5.00		11/1/2017		12,663		13,609
3128GWRF7	FHLMC GOLD		5.00		11/1/2017		6,613		7,107
3128GWV21	FHLMC GOLD		5.00		11/1/2017		11,736		12,613
3128GWVL9	FHLMC GOLD		5.00		11/1/2017		2,041		2,194
3128GWWM6	FHLMC GOLD		5.00		11/1/2017		1,848		1,986
3128GWXD5	FHLMC GOLD		5.00		11/1/2017		6,268		6,731
3128GWXW3	FHLMC GOLD		5.00		11/1/2017		11,311		12,156
3128GWYS1	FHLMC GOLD		5.00		11/1/2017		1,670		1,795
3128GWZQ4	FHLMC GOLD		5.00		11/1/2017		7,950		8,544
3128GX3H7	FHLMC GOLD		5.00		12/1/2017		10,770		11,575
3128GX5V4	FHLMC		5.00		12/1/2017		14,116		15,171
3128GXAX4	FHLMC GOLD		5.00		11/1/2017		22,266		23,931
3128GXBC9	FHLMC GOLD		5.00		11/1/2017		3,585		3,850
3128GXEA0	FHLMC GOLD		5.00		12/1/2017		8,726		9,379
3128GXEK8	FHLMC GOLD		5.00		12/1/2017		4,380		4,707
3128GXFT8	FHLMC GOLD		5.00		12/1/2017		11,067		11,894
3128GXHA7	FHLMC GOLD		5.00		12/1/2017		16,296		17,515
3128GXHQ2	FHLMC GOLD		5.00		12/1/2017		16,813		18,070
3128GXN36	FHLMC GOLD		5.00		12/1/2017		13,761		14,790
3128GY2H6	FHLMC GOLD		5.00		2/1/2018		10,965		11,808
3128GYF66	FHLMC GOLD		5.00		1/1/2018		3,123		3,354
3128GYG73	FHLMC GOLD		5.00		1/1/2018		12,871		13,861
3128GYKK9	FHLMC GOLD		5.00		1/1/2018		2,152		2,317
3128GYLX0	FHLMC GOLD		5.00		1/1/2018		1,236		1,327
3128GYNT7	FHLMC GOLD		5.00		2/1/2018		1,208		1,298
3128GYQC1	FHLMC GOLD		5.00		2/1/2018		12,317		13,263
3128GYS88	FHLMC GOLD		5.00		2/1/2018		1,669		1,793

Allied World Assurance Company Holdings, AG   Securities Listing as at June 30, 2012

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
3128GYTW4	FHLMC GOLD		5.00		2/1/2018		1,661		1,784
3128GYU44	FHLMC GOLD		5.00		2/1/2018		9,766		10,517
3128GYU51	FHLMC GOLD		5.00		2/1/2018		9,304		10,019
3128GYV35	FHLMC GOLD		5.00		2/1/2018		14,483		15,596
3128GYVB7	FHLMC GOLD		5.50		2/1/2018		43,746		47,399
3128GYVZ4	FHLMC GOLD		5.00		2/1/2018		11,982		12,903
3128GYZE7	FHLMC GOLD		5.00		2/1/2018		7,357		7,922
3128H22V4	FHLMC GOLD		5.00		4/1/2018		6,079		6,547
3128H25K5	FHLMC GOLD		5.00		4/1/2018		2,051		2,203
3128H26F5	FHLMC GOLD		5.00		3/1/2018		201		216
3128H26M0	FHLMC GOLD		5.50		3/1/2018		674,012		730,295
3128H26W8	FHLMC GOLD		5.50		2/1/2018		323,582		350,603
3128H27K3	FHLMC GOLD		5.00		4/1/2018		3,253		3,493
3128H2B69	FHLMC GOLD		5.00		2/1/2018		16,395		17,655
3128H2B77	FHLMC GOLD		5.00		2/1/2018		15,052		16,209
3128H2B85	FHLMC GOLD		5.00		2/1/2018		12,871		13,860
3128H2C84	FHLMC GOLD		5.00		2/1/2018		3,593		3,858
3128H2E41	FHLMC GOLD		5.00		3/1/2018		18,345		19,755
3128H2ED1	FHLMC GOLD		5.00		2/1/2018		29,287		31,538
3128H2EG4	FHLMC GOLD		5.00		2/1/2018		17,889		19,264
3128H2LV3	FHLMC GOLD		5.00		2/1/2018		13,916		14,985
3128H2LY7	FHLMC GOLD		5.00		3/1/2018		7,031		7,571
3128H2QV8	FHLMC GOLD		5.00		3/1/2018		17,992		19,375
3128H2T86	FHLMC GOLD		5.00		3/1/2018		1,987		2,140
3128H2TF0	FHLMC GOLD		5.00		3/1/2018		18,455		19,874
3128H2TJ2	FHLMC GOLD		5.00		3/1/2018		4,972		5,340
3128H2TW3	FHLMC GOLD		5.00		3/1/2018		15,135		16,298
3128H2VW0	FHLMC GOLD		5.00		3/1/2018		20,452		22,024
3128H2YM9	FHLMC GOLD		5.00		3/1/2018		4,579		4,918
3128H2YN7	FHLMC GOLD		5.00		3/1/2018		6,170		6,625
3128H2YS6	FHLMC GOLD		5.00		3/1/2018		7,098		7,622
3128H2ZJ5	FHLMC GOLD		5.00		3/1/2018		5,381		5,778
3128H2ZT3	FHLMC GOLD		5.00		4/1/2018		6,848		7,354
3128H2ZU0	FHLMC GOLD		5.00		4/1/2018		12,691		13,666
3128H32W0	FHLMC GOLD		5.00		4/1/2018		8,953		9,622
3128H3C25	FHLMC GOLD		5.00		4/1/2018		2,170		2,331
3128H3CD1	FHLMC GOLD		5.00		4/1/2018		3,615		3,893
3128H3FG1	FHLMC GOLD		5.00		4/1/2018		11,266		12,131
3128H3KN0	FHLMC GOLD		5.00		4/1/2018		113		121
3128H3MN8	FHLMC GOLD		5.00		4/1/2018		19,788		21,309
3128H3N72	FHLMC GOLD		5.00		4/1/2018		4,718		5,067
3128H3RY9	FHLMC GOLD		5.00		5/1/2018		19,839		21,364
3128H3S36	FHLMC GOLD		5.00		4/1/2018		7,304		7,866
3128H3SZ5	FHLMC GOLD		5.00		5/1/2018		10,495		11,301
3128H3V65	FHLMC GOLD		5.00		5/1/2018		3,758		4,036
3128H3WF4	FHLMC GOLD		5.00		4/1/2018		8,376		9,020
3128H3XU0	FHLMC GOLD		5.00		5/1/2018		8,358		8,976
3128H45V7	FHLMC GOLD		5.00		6/1/2018		11,744		12,647
3128H4J59	FHLMC GOLD		5.00		6/1/2018		8,470		9,122
3128H4JG5	FHLMC GOLD		5.00		5/1/2018		9,360		10,052

Allied World Assurance Company Holdings, AG   Securities Listing as at June 30, 2012

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
3128H4JT7	FHLMC GOLD		5.00		6/1/2018		19,767		21,286
3128H5JX5	FHLMC GOLD		5.00		7/1/2018		15,196		16,364
3128H5RP3	FHLMC GOLD		5.00		7/1/2018		8,271		8,882
3128H5TK2	FHLMC GOLD		5.00		7/1/2018		21,929		23,614
3128H6BG8	FHLMC GOLD		5.00		7/1/2018		18,238		19,639
3128H6CZ5	FHLMC GOLD		5.00		7/1/2018		17,761		19,126
3128H6FR0	FHLMC GOLD		5.00		8/1/2018		12,694		13,670
3128H6FU3	FHLMC GOLD		5.00		8/1/2018		9,977		10,714
3128H6WU4	FHLMC GOLD		5.50		8/1/2018		208,145		226,158
3128H6XM1	FHLMC GOLD		5.00		8/1/2018		3,758		4,047
3128H6ZC1	FHLMC GOLD		5.50		7/1/2018		63,885		69,414
3128H77K2	FHLMC GOLD		5.50		10/1/2018		163,745		177,916
3128JLDM8	FHLMC		2.53		9/1/2033		212,013		226,313
3128JLEY1	FHLMC		2.53		9/1/2033		366,048		395,634
3128JLHB8	FHLMC		2.50		9/1/2033		61,141		65,172
3128JMW45	FHLMC		2.65		11/1/2034		85,497		90,794
3128JMY68	FHLMC		2.74		11/1/2034		107,763		116,672
3128JMZG5	FHLMC		2.66		11/1/2034		153,301		164,235
3128JNAL9	FHLMC		2.86		2/1/2035		163,305		175,471
3128JRP26	FHLMC		2.58		12/1/2033		1,722,453		1,835,442
3128K17K1	FHLMC GOLD		5.00		1/1/2036		4,084,434		4,402,734
3128K9KT0	FHLMC GOLD		5.50		3/1/2036		140,934		152,838
3128KA4Z1	FHLMC GOLD		6.00		6/1/2036		79,432		87,298
3128KALC3	FHLMC GOLD		6.00		6/1/2036		7,495		8,198
3128KE5H2	FHLMC GOLD		6.50		9/1/2036		116,899		131,190
3128KJ6T4	FHLMC GOLD		6.00		1/1/2037		420,097		459,459
3128KLMJ3	FHLMC GOLD		5.50		2/1/2037		1,069,311		1,159,927
3128KQUK0	FHLMC GOLD		5.50		5/1/2037		138,253		149,969
3128KU3J4	FHLMC GOLD		6.00		8/1/2037		386,858		423,659
3128KULK1	FHLMC GOLD		6.00		7/1/2037		8,610		9,420
3128KVAR6	FHLMC GOLD		6.50		8/1/2037		122,799		137,886
3128KWBZ5	FHLMC GOLD		6.00		9/1/2037		11,888		13,175
3128KWFX6	FHLMC GOLD		6.00		9/1/2037		28,286		31,348
3128KWFY4	FHLMC GOLD		6.00		9/1/2037		37,324		41,364
3128KWH30	FHLMC GOLD		6.00		9/1/2037		72,413		79,228
3128KWMW0	FHLMC GOLD		6.00		9/1/2037		734,637		806,358
3128KWT29	FHLMC GOLD		6.00		9/1/2037		25,845		28,643
3128KWT78	FHLMC GOLD		6.00		9/1/2037		88,524		96,945
3128KWTK9	FHLMC GOLD		6.00		9/1/2037		35,492		39,334
3128KWTP8	FHLMC GOLD		6.00		9/1/2037		31,896		35,349
3128KWTZ6	FHLMC GOLD		6.00		9/1/2037		24,690		27,362
3128KYXE4	FHLMC GOLD		6.00		4/1/2037		16,457		18,238
3128L0SP8	FHLMC GOLD		6.00		11/1/2037		12,380		13,588
3128L0SR4	FHLMC GOLD		6.00		11/1/2037		326,862		358,671
3128L1WN6	FHLMC GOLD		5.50		12/1/2037		467,021		506,598
3128L1WP1	FHLMC GOLD		6.00		12/1/2037		89,611		98,045
3128LAFP0	FHLMC GOLD		6.00		4/1/2038		3,158,265		3,455,737
3128LXUJ7	FHLMC GOLD		6.00		11/1/2036		351,288		384,203
3128M4GD9	FHLMC GOLD		6.00		1/1/2037		102,940		112,585
3128M4XA6	FHLMC GOLD		5.50		7/1/2037		2,665,389		2,911,339

Allied World Assurance Company Holdings, AG   Securities Listing as at June 30, 2012

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
3128M4YR8	FHLMC GOLD		6.00		8/1/2037		261,481		286,092
3128M4ZG1	FHLMC GOLD		6.00		7/1/2037		3,054		3,384
3128M5DQ0	FHLMC GOLD		5.50		10/1/2037		155,039		168,178
3128M5GA2	FHLMC GOLD		6.00		10/1/2037		930,271		1,017,830
3128M5J27	FHLMC GOLD		6.00		11/1/2037		509,135		557,056
3128M5NP1	FHLMC GOLD		6.00		12/1/2037		6,199		6,783
3128M5R93	FHLMC GOLD		5.50		2/1/2038		61,123		66,303
3128M5RA0	FHLMC GOLD		6.00		1/1/2038		34,733		38,002
3128M6AV0	FHLMC GOLD		5.50		3/1/2038		134,730		146,143
3128M6SA7	FHLMC GOLD		6.00		10/1/2038		1,064,185		1,164,419
3128M6UB2	FHLMC GOLD		6.00		7/1/2038		74,556		82,627
3128M6ZQ4	FHLMC GOLD		5.00		11/1/2038		500,766		537,337
3128M73M6	FHLMC GOLD		5.00		9/1/2039		454,119		487,063
3128M7AZ9	FHLMC GOLD		6.00		12/1/2038		205,976		228,273
3128M7CE4	FHLMC GOLD		5.00		1/1/2039		65,027		69,744
3128M7E28	FHLMC GOLD		5.00		2/1/2039		7,149,447		7,668,108
3128M7PN0	FHLMC GOLD		5.00		7/1/2039		947,527		1,047,654
3128M83K8	FHLMC GOLD		4.50		10/1/2041		26,396,887		28,172,164
3128M8AV6	FHLMC GOLD		5.50		12/1/2039		9,176,673		9,954,021
3128M8TX2	FHLMC GOLD		6.00		1/1/2038		2,836,269		3,102,018
3128M8VG6	FHLMC GOLD		4.00		6/1/2041		10,041,377		10,869,857
3128M9BP6	FHLMC GOLD		5.50		6/1/2041		4,992,872		5,415,813
3128MCUW3	FHLMC GOLD		4.00		12/1/2025		7,132,864		7,535,900
3128MJH94	FHLMC GOLD		5.00		3/1/2038		3,615,572		3,877,866
3128MJP95	FHLMC GOLD		4.50		5/1/2041		2,256,144		2,416,215
3128MJQD5	FHLMC GOLD		4.50		6/1/2041		1,545,791		1,655,463
3128MMAC7	FHLMC GOLD		5.00		7/1/2019		485,417		523,124
3128MMM67	FHLMC GOLD		3.50		3/1/2026		755,553		795,159
3128MMNX7	FHLMC GOLD		3.50		10/1/2026		9,991,714		10,519,720
3128NCBH6	FHLMC		2.36		1/1/2035		247,985		258,995
3128P7JE4	FHLMC GOLD		5.00		2/1/2028		14,825		15,924
3128P7JH7	FHLMC GOLD		5.00		3/1/2028		272,854		293,088
3128PR7G8	FHLMC GOLD		4.00		8/1/2025		1,570,216		1,658,939
3128PRVD8	FHLMC GOLD		4.00		6/1/2025		1,438,721		1,520,015
3128PRWU9	FHLMC GOLD		4.00		7/1/2025		1,432,011		1,512,925
3128PRZ85	FHLMC GOLD		4.00		7/1/2025		993,838		1,049,993
3128PSBA4	FHLMC GOLD		4.00		8/1/2025		2,522,002		2,664,506
3128PUGE6	FHLMC GOLD		3.50		2/1/2026		922,534		970,893
3128PUQT2	FHLMC GOLD		3.50		4/1/2026		779,040		820,208
3128PURZ7	FHLMC GOLD		3.50		4/1/2026		939,663		988,920
3128PUVC3	FHLMC GOLD		3.50		4/1/2026		873,854		920,032
3128PUVP4	FHLMC GOLD		3.50		4/1/2026		819,910		862,889
3128PUW73	FHLMC GOLD		3.50		5/1/2026		932,609		981,496
3128PUXF4	FHLMC GOLD		3.50		4/1/2026		785,066		826,219
3128PVBD1	FHLMC GOLD		4.00		5/1/2026		5,095,439		5,385,873
3128PVCG3	FHLMC GOLD		4.00		5/1/2026		4,916,251		5,196,472
3128PWV21	FHLMC GOLD		3.00		10/1/2026		6,232,127		6,517,234
3128PWWS3	FHLMC GOLD		3.00		10/1/2026		3,343,979		3,497,101
312929CM2	FHLMC GOLD		6.00		1/1/2039		7,820		8,666
31292K7B7	FHLMC GOLD		5.00		10/1/2040		7,803,697		8,456,945

Allied World Assurance Company Holdings, AG   Securities Listing as at June 30, 2012

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
31292KJH1	FHLMC GOLD		6.00		7/1/2037		1,533		1,699
31292R7M8	FHLMC GOLD		3.50		6/1/2042		77,450,000		81,310,387
312930LH1	FHLMC GOLD		6.00		1/1/2039		22,436		24,865
312930LQ1	FHLMC GOLD		6.00		1/1/2039		36,819		40,805
312930RC6	FHLMC GOLD		6.00		1/1/2039		20,099		22,274
312930RV4	FHLMC GOLD		6.00		1/1/2039		9,495		10,523
312930TB6	FHLMC GOLD		6.00		1/1/2039		10,894		12,073
312931D62	FHLMC GOLD		4.00		2/1/2039		1,851,217		1,963,457
312931GN2	FHLMC GOLD		6.00		2/1/2039		41,503		45,556
312931TJ7	FHLMC GOLD		5.00		3/1/2039		2,778,235		2,986,492
312932CX2	FHLMC GOLD		4.50		4/1/2039		2,576,129		2,812,179
312932ZE9	FHLMC GOLD		5.00		5/1/2039		76,963		85,384
3129334R2	FHLMC GOLD		4.00		7/1/2039		23,160		24,564
312933F41	FHLMC GOLD		4.50		6/1/2039		699,327		746,359
3129345K4	FHLMC GOLD		5.00		8/1/2039		156,911		173,492
312934CX8	FHLMC GOLD		4.00		7/1/2039		1,704,379		1,807,717
312934ML3	FHLMC GOLD		4.00		7/1/2039		61,958		65,714
312934PJ5	FHLMC GOLD		5.00		8/1/2039		83,226		92,332
312934R38	FHLMC GOLD		5.00		8/1/2039		65,001		72,113
312934SQ6	FHLMC GOLD		4.00		8/1/2039		118,367		125,544
312935AT6	FHLMC GOLD		5.00		8/1/2039		148,268		163,936
312935KY4	FHLMC GOLD		4.50		9/1/2039		239,877		256,294
312935LV9	FHLMC GOLD		4.50		9/1/2039		162,587		173,715
312935MV8	FHLMC GOLD		4.50		9/1/2039		1,607,161		1,717,155
312936LH8	FHLMC GOLD		5.00		10/1/2039		298,006		320,345
312936LM7	FHLMC GOLD		5.00		10/1/2039		507,662		561,307
3129385D1	FHLMC GOLD		5.00		1/1/2040		81,474		89,498
312938TU7	FHLMC GOLD		5.00		1/1/2040		729,502		793,368
312941TK3	FHLMC GOLD		4.00		8/1/2040		2,155,764		2,332,282
312942ER2	FHLMC GOLD		5.00		9/1/2040		2,757,348		2,997,022
312942F83	FHLMC GOLD		4.00		9/1/2040		2,827,093		3,058,580
312942L52	FHLMC GOLD		4.50		9/1/2040		1,920,328		2,052,941
312943EE9	FHLMC GOLD		5.00		10/1/2040		6,748,566		7,313,488
312943HT3	FHLMC GOLD		4.00		11/1/2040		12,809,067		13,793,849
312943LY7	FHLMC GOLD		4.00		11/1/2040		808,896		875,129
312944BJ9	FHLMC GOLD		4.00		12/1/2040		3,787,633		4,088,302
312944BN0	FHLMC GOLD		4.00		12/1/2040		1,992,219		2,139,158
312945DN5	FHLMC GOLD		3.50		1/1/2041		5,787,775		6,074,545
312946FN1	FHLMC GOLD		4.50		3/1/2041		2,812,053		3,011,564
31294KDZ5	FHLMC GOLD		5.00		9/1/2016		1,112		1,198
31294KFJ9	FHLMC GOLD		5.00		11/1/2016		1,513		1,629
31294KHD0	FHLMC GOLD		5.00		2/1/2017		3,992		4,290
31294KHL2	FHLMC GOLD		5.00		3/1/2017		7,186		7,723
31294KJT3	FHLMC GOLD		5.00		5/1/2017		2,605		2,786
31294KKU8	FHLMC GOLD		5.00		9/1/2017		4,014		4,314
31294MAK7	FHLMC GOLD		4.00		8/1/2025		2,904,506		3,068,622
31294MJP7	FHLMC GOLD		3.50		10/1/2026		7,799,199		8,211,342
312962CQ4	FHLMC GOLD		5.00		8/1/2018		5,218		5,604
312962CT8	FHLMC GOLD		5.00		8/1/2018		1,109		1,186
312962KD4	FHLMC GOLD		5.50		10/1/2018		85,454		92,850

Allied World Assurance Company Holdings, AG   Securities Listing as at June 30, 2012

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
312962KT9	FHLMC GOLD		5.00		10/1/2018		11,889		12,767
312962MD2	FHLMC GOLD		5.00		11/1/2018		22,028		23,721
312962Q63	FHLMC GOLD		5.50		10/1/2018		13,762		14,953
312962UW1	FHLMC GOLD		5.50		11/1/2018		1,017,229		1,105,260
312963VY4	FHLMC GOLD		5.50		12/1/2018		211,768		230,095
312963WH0	FHLMC GOLD		5.50		12/1/2018		16,779		18,231
312963ZG9	FHLMC GOLD		5.50		11/1/2018		25,717		27,943
3129642B4	FHLMC GOLD		5.50		3/1/2019		48,609		52,933
312964KG3	FHLMC GOLD		5.00		2/1/2019		4,119		4,424
312964WX3	FHLMC GOLD		5.50		10/1/2018		346,331		376,303
312965QA7	FHLMC GOLD		5.50		11/1/2018		187,997		204,266
312966WU4	FHLMC GOLD		5.50		5/1/2019		1,243,677		1,354,310
312968QL7	FHLMC GOLD		5.50		12/1/2018		1,295,084		1,403,229
31296NEK9	FHLMC GOLD		5.00		9/1/2033		2,319,652		2,502,785
31296QYE4	FHLMC GOLD		6.00		12/1/2033		7,694		8,547
31296SBH8	FHLMC GOLD		6.00		12/1/2033		12,502		13,888
31297SFC4	FHLMC GOLD		5.50		8/1/2035		124,051		135,165
31297US50	FHLMC GOLD		5.50		10/1/2035		136,791		149,047
3132GDC67	FHLMC GOLD		4.00		4/1/2041		541,774		575,831
3132GDS86	FHLMC GOLD		4.50		5/1/2041		6,885,690		7,374,220
3132GE6P0	FHLMC GOLD		5.00		6/1/2041		998,730		1,086,165
3132GJ3K3	FHLMC GOLD		4.00		10/1/2041		1,386,901		1,474,137
3132GUDP6	FHLMC GOLD		3.50		6/1/2042		28,783,186		30,217,844
31342A6F1	FHLMC		2.37		9/1/2033		362,096		385,497
31349UCW6	FHLMC		2.23		10/1/2034		159,553		169,065
31349UEJ3	FHLMC		2.38		11/1/2034		310,557		328,332
31349ULB2	FHLMC		2.37		2/1/2035		306,321		323,812
31349UMF2	FHLMC		2.38		3/1/2035		499,420		532,486
01N032675	GNMA		3.50		7/1/2041		16,000,000		17,118,750
01F022477	FNMA		2.50		7/1/2027		60,000,000		61,856,250
01F030678	FNMA		3.00		7/1/2042		11,000,000		11,280,156
01F030686	FNMA		3.00		8/1/2042		24,000,000		24,548,438
01F032674	FNMA		3.50		7/1/2041		10,000,000		10,510,938
01F032682	FNMA		3.50		8/1/2041		189,000,000		198,125,156
01F040677	FNMA		4.00		7/1/2039		28,400,000		30,228,250
01F040677	FNMA		4.00		7/1/2039		-115,000,000		-122,403,125
01F040685	FNMA		4.00		8/1/2039		49,600,000		52,703,875
01F042673	FNMA		4.50		7/13/2036		-16,000,000		-17,165,000
01F042681	FNMA TBA		4.50		8/1/2033		20,000,000		21,441,406
01F050676	FNMA TBA		5.00		7/1/2033		-13,000,000		-14,070,469
01F060675	FNMA TBA		6.00		7/1/2033		-1,000,000		-1,099,063
02R032679	FHLMC GOLD		3.50		7/1/2042		4,000,000		4,196,094
02R040672	FHLMC GOLD		4.00		7/1/2041		4,550,000		4,829,043
							1,606,836,362		1,710,596,333
Non Agency RMBS
05948X6X4	BANK OF AMERICA MTG SEC		4.75		6/25/2019		2,685,696		2,773,760
07384MWF5	BSARM		2.93		8/25/2033		98,562		92,037
12669EYQ3	COUNTRYWIDE HOME LOANS TR		2.88		8/25/2033		84,091		69,442
16162WLM9	CHASE		5.50		10/25/2035		8,345,890		7,992,776
161630AC2	CHASE		2.89		2/25/2037		10,331,866		10,360,020

Allied World Assurance Company Holdings, AG   Securities Listing as at June 30, 2012

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
161630AG3	CHASE		2.98		2/25/2037		7,145,698		7,149,286
161630AN8	CHASE		2.94		2/25/2037		2,735,465		2,685,132
161630AQ1	CHASE		2.99		2/25/2037		2,383,666		2,231,827
1729733P2	CMSI		5.00		10/25/2035		7,808,338		7,717,292
449670EQ7	IMC HOME EQUITY LOAN TRUST		6.84		8/20/2029		112,230		110,248
46630GAA3	JPMMT		2.88		7/25/2035		6,109,352		5,842,374
46630GAD7	JPMMT		2.76		7/25/2035		2,182,626		1,997,975
46630GAN5	JPMMT_07-A1		2.88		7/25/2035		1,500,939		1,453,344
46630GAS4	JPMMT		2.85		7/25/2035		6,269,012		6,025,147
525170BL9	LABS		5.00		12/25/2033		8,441,988		8,471,197
576433QQ2	MARM_04-8		2.03		9/25/2034		1,213,949		960,841
589929W53	MLMI		2.67		7/25/2033		169,238		168,172
62889EAA3	NGN_11-R3		0.64		3/11/2020		1,520,406		1,521,121
76110H2P3	RES ASSET SEC		3.24		3/25/2035		1,078,480		538,916
76110HHG7	RFMSI_03-Q16		5.00		8/25/2018		5,129,119		5,237,395
863579KY3	SARM		2.82		2/25/2035		2,374,696		1,749,439
86359BGD7	STRUCTURED ASSET SEC CORP		2.68		2/25/2034		115,592		104,448
86359BVE8	STRUCTURED ASSET SEC CORP		2.76		6/25/2034		8,992,368		8,216,147
92922F4M7	WASHINGTON MUTUAL		0.54		10/25/2045		1,100,245		885,697
92922F4P0	WAMU		1.03		10/25/2045		5,418,051		4,532,200
92922FB49	WASHINGTON MUTUAL		0.61		11/25/2034		343,022		283,130
92922FZF8	WAMU_04-A12		0.64		10/25/2044		6,395,060		5,000,937
949781AA6	WFMBS		2.61		2/25/2035		3,078,120		2,857,419
94982BAG5	WFMBS		2.69		6/25/2035		4,134,010		4,024,045
							107,297,776		101,051,765
Non Agency RMBS - High Yield Mandate
751153AA5	RALI_06-Q010		0.41		1/25/2037		3,714,044		1,953,216
92922FR67	WASHINGTON MUTUAL		0.52		7/25/2045		509,145		405,432
23332QAC7	DSLA		0.44		10/19/2036		1,436,113		829,355
02660BAA0	AHMA_07-1		0.85		2/25/2047		8,411,579		3,666,607
02660UAE0	AHMA_06-3		1.09		10/25/2046		10,076,531		5,109,809
05949QAH8	BANC OF AMERICA FUNDING CORPOR		6.25		3/25/2036		1,250,000		1,162,250
05954DAG1	BAFC		5.40		7/20/2047		5,319,296		3,380,359
07384MWF5	BSARM		2.93		8/25/2033		19,712		18,407
073868AA9	BALTA_06-6		0.41		11/25/2036		13,729,233		5,671,409
07387AAW5	BSARM		3.01		6/25/2035		5,309,601		4,060,777
07401YAQ8	BEAR STEARNS MORTGAGE FUNDING		0.46		6/25/2037		12,522,311		7,287,985
12543TAZ8	CWHL_06-13		6.25		9/25/2036		4,813,146		3,859,710
12566VAE2	CMALT_07-A4		5.75		4/25/2037		4,099,427		2,900,221
12566XAK4	CMA_07-A7		0.65		7/25/2037		6,386,846		3,249,180
12667GNS8	COUNTRYWIDE ALTERNATIVE LOAN T		1.46		7/20/2035		872,788		487,017
12667GZ30	CWALT		0.60		9/25/2035		1,881,459		1,095,946
12668BCG6	CWALT		6.00		2/25/2036		677,042		474,545
12668BPY3	CWALT		5.50		4/25/2036		12,389,762		8,997,321
126694A32	COUNTRYWIDE HOME LOANS		0.45		3/20/2046		1,786,592		911,162
126694MS4	COUNTRYWIDE HOME LOANS		5.50		11/25/2035		4,395,460		3,997,935
12669EYQ3	COUNTRYWIDE HOME LOANS TR		2.88		8/25/2033		28,030		23,147
22541QUJ9	CS FIRST BOSTON MORTGAGE SECUR		2.82		10/25/2033		118,665		110,726
22942KCD0	CSMC		6.00		8/25/2036		12,773,641		8,920,344
232434AE0	CWALT_06-OC8		0.50		11/25/2036		21,284,497		3,503,428

Allied World Assurance Company Holdings, AG   Securities Listing as at June 30, 2012

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
23245GAD3	CWALT_06-OC9		0.50		12/25/2046		5,284,551		964,431
23245QAA7	CWALT		0.43		3/20/2047		11,700,793		5,979,105
25150UAA6	DBALT_07-OA2		0.77		4/25/2047		3,228,488		2,050,735
25151AAG6	DBALT		0.53		8/25/2036		27,019,805		7,119,719
25151TAC4	DBALT_07-BAR1		0.41		3/25/2037		11,500,000		3,480,475
32052DAG6	FHAMS_06-FA8		6.00		2/25/2037		5,509,128		3,980,621
40431HAJ6	HALO		0.55		12/25/2036		4,798,363		1,330,749
41161VAC4	HVMLT		0.44		9/19/2036		4,572,695		2,619,235
41162DAF6	HVMLT_06-12		0.43		12/19/2036		6,267,517		3,761,763
45660NQ24	INDX		2.70		8/25/2034		385,569		266,078
456687AC6	INDX_07-FL4		0.43		7/25/2037		2,881,698		1,978,862
45668WAC1	INX		0.50		2/25/2037		5,000,000		914,000
466306AA5	JPALT_08-R2		6.00		11/25/2036		4,042,224		2,704,935
52520MBY8	LMT_05-2		1.00		12/25/2035		3,599,571		2,054,635
525221HA8	LXS		0.51		2/25/2046		3,878,471		2,002,583
52524HAJ9	LXS		0.90		3/25/2047		2,364,571		1,376,417
52524PAG7	LXS_07-16N		0.41		5/25/2037		9,106,914		6,007,740
55027WAA0	LUM_07-2		0.48		5/25/2037		4,156,547		1,922,403
55027XAA8	LUM_06-5		0.44		7/25/2036		6,495,640		3,354,349
57643LLC8	MABS		5.65		11/25/2035		10,000,000		6,152,700
59024KAX1	MLA_07-AF1		3.04		6/25/2037		3,406,912		1,882,626
61748HJV4	MORGAN STANLEY MTG LOAN TRUST		5.00		8/25/2035		646,241		639,236
61748HVE8	MORGAN STANLEY MTG LOAN TRUST		5.25		2/25/2021		984,873		947,260
68383NDW0	OPTEUM MORTGAGE ACCEPT CORP		0.55		4/25/2036		7,000,000		3,673,740
74923LAB8	RALI		0.44		5/25/2047		4,806,516		2,829,596
74958XAB0	RFMSI		3.32		4/25/2037		4,699,477		3,318,771
76110H2P3	RES ASSET SEC		3.24		3/25/2035		217,330		108,600
761118FG8	RALI		3.29		8/25/2035		3,602,907		2,312,699
761118QM3	RALI		1.15		1/25/2046		3,930,716		2,056,157
863579J90	SARM		2.67		12/25/2035		9,426,372		4,075,021
86359A5B5	SASC		2.79		11/25/2033		361,949		346,313
86359AH71	SASC		2.67		7/25/2033		528,915		484,216
86359BGD7	STRUCTURED ASSET SEC CORP		2.68		2/25/2034		28,898		26,112
86359LQM4	SAMI_06-AR1		2.30		3/25/2046		3,746,519		2,371,921
86361HAA2	SAMI_06-AR7		0.46		8/25/2036		8,822,414		4,851,445
92922F7P7	WASHINGTON MUTUAL		0.52		12/25/2045		7,332,552		5,791,176
92922FJ25	WASHINGTON MUTUAL		0.48		4/25/2045		1,552,553		1,249,186
92922FR75	WASHINGTON MUTUAL		0.54		7/25/2045		5,096,828		4,079,501
92925DAB6	WAMU		0.96		12/25/2046		3,294,803		2,360,364
92927BAA0	WAMU_07-OA6		0.96		7/25/2047		11,219,552		6,929,195
93363RAA4	EAST PACES FERRY LLC		1.03		10/25/2046		7,643,335		4,787,326
93364BAA8	WAMU MORTGAGE PASS-THROUGH CER		0.90		6/25/2047		1,685,356		1,070,201
9393362N2	WMMS		6.00		3/25/2035		3,492,128		3,213,840
93936RAA2	WAL		0.99		5/25/2047		7,948,420		4,273,071
94981QAA6	WFMBS		2.75		10/25/2035		440,214		442,525
94985KAA5	WFA_07-PA6		5.92		12/28/2037		1,610,306		1,085,008
							369,123,551		197,302,932
CMBS
62888XAC8	NCUA_10-C1		2.65		10/29/2020		9,970,564		10,429,210
055236AA1	BAMLL_11-07C1		5.38		11/15/2016		6,300,000		6,726,850

Allied World Assurance Company Holdings, AG   Securities Listing as at June 30, 2012

Cusip	Security Description	Coupon			Maturity		Par		Market Value $
059500AD0	BACM		5.89			7/10/2044		5,000,000		5,645,070
05950EAE8	BACM		5.73			5/10/2045		8,615,000		9,821,720
059511AH8	BACM		5.64			4/10/2049		2,550,000		2,588,497
059512AB9	BACM_07-3		5.66			6/10/2049		173,703		174,601
059512AQ6	BANC OF AMERICA COMMERCIAL MOR		0.41			6/10/2049		173,703		173,478
05956VAC8	BAMLL_11-STRP		2.15			8/17/2038		7,386,663		7,370,043
07383FXJ2	BEAR STEARNS COMMERCIAL MORTGA		5.19			5/11/2039		1,988,723		2,044,294
07383FXN3	BSCMS		4.68			8/13/2039		4,000,000		4,123,576
07387BCH4	BSCMS		5.13			10/12/2042		1,913,443		1,913,020
07387BEB5	BSCMS		5.41			12/11/2040		2,500,000		2,793,643
07388LAE0	BEAR STEARNS		5.54			9/11/2041		7,500,000		8,540,880
07388NAE6	BEAR STEARNS COMMERCIAL MORTGA		5.54			10/12/2041		9,020,000		10,306,775
07388PAE1	BSCMS		5.20			12/11/2038		19,480,000		22,003,673
07388YAG7	BSCMS		5.91			6/11/2040		2,850,000		3,005,510
12513YAC4	CD		5.21			12/11/2049		1,313,711		1,335,560
12513YAF7	CD		5.32			12/11/2049		5,000,000		5,553,590
126192AE3	COMM_12-LC4		4.06			12/10/2044		1,000,000		1,010,467
12622DAA2	COMM_10-C1		3.16			7/10/2046		9,658,699		10,123,862
12622QAA3	COMM_11-THL		3.38			6/9/2028		7,766,545		7,912,416
17310MAE0	CITIGROUP		5.43			10/15/2049		2,026,000		2,305,235
17313KAD3	CGCMT		6.28			12/10/2049		6,150,000		6,334,869
190749AE1	CWCAPITAL COBALT		5.22			8/15/2048		5,000,000		5,522,935
20046GAC2	COMM_06-FL12		0.34			12/15/2020		1,209,752		1,173,460
20047QAE5	COMM		5.75			6/10/2046		4,000,000		4,503,900
20173QAE1	GCCFC		5.44			3/10/2039		5,000,000		5,546,645
22545DAD9	CREDIT SUISSE MORTGAGE CAPITAL		6.01			6/15/2038		5,000,000		5,665,750
22545RAB2	CSMC		0.41			10/15/2021		2,835,769		2,653,154
361849YU0	GMACC		5.46			5/10/2040		1,550,000		1,611,847
361849ZS4	GMACC		4.65			4/10/2040		15,818		15,887
361849ZT2	GMACC		5.02			4/10/2040		4,000,000		4,149,812
36191YAY4	GSMS_11-GC5		1.47			8/10/2044		1,004,138		1,012,955
36228CVQ3	GSMS		4.61			7/10/2039		244,083		244,009
36228CZW6	GSMS		1.73			3/6/2020		5,350,000		5,277,508
396789JS9	GCCFC		4.57			8/10/2042		478,425		484,153
46625YSF1	JPMCC_05-LDP3		4.96			8/15/2042		1,424,058		1,461,098
46629GAE8	JPMCC		5.55	��		5/12/2045		13,500,000		15,236,640
46629PAM0	JPMCC		5.30			5/15/2047		1,615,490		1,652,191
46630EAC4	JPMCC		5.43			12/12/2043		7,334,510		8,208,754
46630JAC3	JP MORGAN CHASE COMMERCIAL MOR		5.42			1/15/2049		5,000,000		5,594,355
50179MAE1	LBUBS		5.37			9/15/2039		1,500,000		1,703,852
52108HMU5	LBUBS COMM MTG TR		4.85			9/15/2031		7,242,076		7,246,487
52108HRB2	LBUBS		3.85			5/15/2027		211,080		212,739
52108MAF0	LBUBS		5.20			11/15/2030		1,450,000		1,605,035
59023BAB0	MERRILL LYNCH MTG TR		5.80			5/12/2039		409,084		418,657
617458AC8	MORGAN STANLEY CAPITAL		3.88			9/15/2047		3,500,000		3,764,527
61745M5G4	MSC		4.89			6/12/2047		500,000		548,185
61745ML43	MSC		5.27			6/13/2041		4,000,000		4,256,444
61750CAF4	MSC_06-HQ9		5.73			7/12/2044		2,550,000		2,904,894
61750HAE6	MSC		5.33			11/12/2041		4,250,000		4,701,197
61750WAX1	MSC		5.33			12/15/2043		1,000,000		1,136,002

Allied World Assurance Company Holdings, AG   Securities Listing as at June 30, 2012

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
90348HAA2	B NATIONALE CDA		1.14		7/15/2024		324,966		313,134
929766UK7	WBCMT_04-C14		5.09		8/15/2041		8,800,000		9,400,107
929766X24	WBCMT_05-C19		4.66		5/15/2044		1,126,694		1,147,112
92976VAF5	WBCMT		5.92		5/15/2043		6,000,000		6,854,352
92977RAD8	WACHOVIA BANK COMMERCIAL MORTG		6.01		6/15/2045		6,000,000		6,841,422
92978YAB6	WBCMT		5.92		6/15/2049		4,973,302		5,113,703
							240,735,998		260,419,738
Corporate Debt Securities - Financials
17313YAL5	CITIGROUP FUNDING INC - GTD		1.88		10/22/2012		27,000,000		27,135,540
90345AAC6	US CENTRAL CREDIT UNION - (LT)		1.90		10/19/2012		15,500,000		15,576,725
74157UAG4	PRIMARIS RETAIL REAL ESTATE IN		5.40		11/30/2018		2,250,000		2,279,906
02005NAB6	ALLY FINANCIAL INC		8.30		2/12/2015		3,375,000		3,678,750
025816AW9	AMERICAN EXPRESS COMPANY		5.50		9/12/2016		4,000,000		4,572,954
0258M0DA4	AMERICAN EXPRESS CREDIT CO		2.75		9/15/2015		12,000,000		12,465,956
0258M0DD8	AMERICAN EXPRESS CREDIT CO		2.38		3/24/2017		9,000,000		9,192,419
02687QBC1	AMERICAN INTERNATIONAL GROUP I		5.60		10/18/2016		1,500,000		1,625,825
05531FAG8	BB&T CORPORATION		3.20		3/15/2016		2,225,000		2,354,204
060505CS1	BANK OF AMERICA		5.63		10/14/2016		7,700,000		8,178,511
06051GEA3	BANK OF AMERICA		6.50		8/1/2016		19,000,000		20,749,914
06051GEB1	BANK OF AMERICA		4.50		4/1/2015		1,000,000		1,029,812
06051GED7	BANK OF AMERICA		3.70		9/1/2015		12,100,000		12,206,135
06051GEG0	BANK OF AMERICA		3.63		3/17/2016		3,000,000		3,009,717
06406HBN8	BANK OF NEW YORK CO		3.10		1/15/2015		4,800,000		5,039,168
06406HBX6	BANK OF NEW YORK MELLON/THE		2.30		7/28/2016		1,500,000		1,548,459
07385TAJ5	BEAR STEARNS CO INC		5.70		11/15/2014		7,225,000		7,812,655
073902PR3	BEAR STEARNS CO INC		6.40		10/2/2017		6,400,000		7,372,584
073902RU4	BEAR STEARNS CO INC		7.25		2/1/2018		4,500,000		5,353,965
09247XAD3	BLACKROCK CREDIT (OFFSHORE)		3.50		12/10/2014		250,000		265,269
125577BA3	CIT GROUP INC		5.25		4/1/2014		4,300,000		4,450,500
12572QAD7	CME GROUP INC		5.75		2/15/2014		500,000		538,852
14040HAS4	CAPITAL ONE FINANCIAL CORP		7.38		5/23/2014		500,000		548,102
14040HAX3	CAPITAL ONE FINANCIAL CORPORAT		3.15		7/15/2016		1,000,000		1,033,382
140420MV9	CAPITAL ONE BANK		8.80		7/15/2019		9,000,000		11,305,521
14912L4Q1	CATERPILLAR FINL SERV CORP		1.55		12/20/2013		2,000,000		2,029,146
172967EU1	CITIGROUP INC		6.50		8/19/2013		2,000,000		2,091,002
172967EY3	CITIGROUP INC		6.38		8/12/2014		8,550,000		9,152,278
172967EZ0	CITIGROUP INC		5.50		10/15/2014		19,150,000		20,282,138
172967FW6	CITIGROUP INC		4.45		1/10/2017		11,400,000		11,932,140
172967FY2	CITIGROUP INC		2.65		3/2/2015		5,000,000		4,986,563
226566AK3	CRICKET COMMUNICATIONS INC.		7.75		5/15/2016		1,000,000		1,062,500
22966RAA4	CUBESMART		4.80		7/15/2022		4,025,000		4,085,372
24422ERQ4	JOHN DEERE CAPITAL CORPORATION		0.88		4/17/2015		7,000,000		6,984,714
302508BA3	FMR CORP		4.75		3/1/2013		1,100,000		1,126,758
316773CK4	FIFTH THIRD BANCORP		3.63		1/25/2016		500,000		528,184
36186CBX0	ALLY FINANCIAL INC		2.67		12/1/2014		195,000		182,081
36962G4C5	GENERAL ELECTRIC CAPITAL CORP		5.90		5/13/2014		700,000		760,365
36962G5M2	GENERAL ELECTRIC CAPITAL CORP		2.15		1/9/2015		15,025,000		15,282,928
36962G5N0	GENERAL ELECTRIC CAPITAL CORP		2.90		1/9/2017		750,000		774,770
36962G5W0	GENERAL ELECTRIC CAPITAL CORP		2.30		4/27/2017		5,000,000		5,038,690
36962GK86	GENERAL ELECTRIC CAPITAL CORP		4.75		9/15/2014		2,000,000		2,142,134

Allied World Assurance Company Holdings, AG   Securities Listing as at June 30, 2012

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
38141GEE0	GOLDMAN SACHS GROUP INC		5.35		1/15/2016		1,000,000		1,048,155
38141GEG5	GOLDMAN SACHS GROUP INC		0.92		3/22/2016		8,550,000		7,736,639
38143USC6	GOLDMAN SACHS GROUP INC		3.63		2/7/2016		8,500,000		8,498,358
40414LAB5	HEALTH CARE PROPERTY INVESTORS		2.70		2/1/2014		8,875,000		8,962,560
40428HPG1	HSBC USA INC		2.38		2/13/2015		7,500,000		7,560,892
4042Q1AE7	HSBC BANK USA		4.88		8/24/2020		3,500,000		3,585,818
451102AD9	ICAHN ENTERPRISES LP / ICAHN E		7.75		1/15/2016		855,000		898,819
451102AH0	ICAHN ENTERPRISES LP / ICAHN E		8.00		1/15/2018		370,000		393,125
459745GJ8	INTERNATIONAL LEASE FINANCE CO		5.75		5/15/2016		3,000,000		3,043,740
46623EJE0	JPMORGAN CHASE & CO		2.05		1/24/2014		7,500,000		7,573,627
46625HHR4	JPMORGAN CHASE & CO		3.40		6/24/2015		10,000,000		10,357,726
46625HJA9	JPMORGAN CHASE & CO		3.15		7/5/2016		2,000,000		2,054,715
49326EEC3	KEYCORP		3.75		8/13/2015		500,000		528,568
53117CAG7	LIBERTY PROPERTY TR		6.38		8/15/2012		1,250,000		1,258,241
59018YM40	MERRILL LYNCH & CO INC		5.45		2/5/2013		5,150,000		5,252,434
59156RAH1	METLIFE INC		5.50		6/15/2014		1,200,000		1,291,843
617446V71	MORGAN STANLEY		6.25		8/28/2017		10,500,000		10,858,093
61746SBR9	MORGAN STANLEY		5.38		10/15/2015		7,000,000		7,151,688
61747WAD1	MORGAN STANLEY		2.88		1/24/2014		2,500,000		2,464,693
61747YCE3	MORGAN STANLEY		6.00		4/28/2015		3,500,000		3,632,452
61747YCK9	MORGAN STANLEY		4.20		11/20/2014		1,100,000		1,100,878
61747YDD4	MORGAN STANLEY		3.80		4/29/2016		9,300,000		8,984,144
637432ML6	NATIONAL RURAL UTILITIES		1.90		11/1/2015		7,000,000		7,181,757
637432MM4	NATIONAL RURAL UTILITIES		1.13		11/1/2013		675,000		676,688
638612AK7	NATIONWIDE FINANCIAL SERVICES		5.38		3/25/2021		5,925,000		6,160,465
693476BE2	PNC FUNDING CORP		5.40		6/10/2014		2,000,000		2,158,196
693476BH5	PNC FUNDING CORP		3.63		2/8/2015		1,635,000		1,731,776
74432QAY1	PRUDENTIAL FINANCIAL INC.		6.10		6/15/2017		100,000		114,274
74432QBL8	PRUDENTIAL FINANCIAL INC.		3.88		1/14/2015		1,500,000		1,565,251
78403DAB6	SBA TOWER TRUST		5.10		4/15/2042		5,300,000		5,735,345
78442FBG2	SLM CORP		5.00		10/1/2013		100,000		101,798
78442FCJ5	SLM CORP		5.38		5/15/2014		4,000,000		4,140,000
78442FEK0	SLM CORP		6.25		1/25/2016		250,000		260,000
78442FEM6	SLM CORP		6.00		1/25/2017		250,000		250,000
828807BM8	SIMON PROPERTY GROUP L.P.		5.10		6/15/2015		4,000,000		4,353,595
828807CB1	SIMON PROPERTY GROUP L.P.		6.75		5/15/2014		12,675,000		13,745,554
84603MXU5	SOVEREIGN BANK		8.75		5/30/2018		2,475,000		2,648,250
867914BE2	SUNTRUST BANKS INC		3.50		1/20/2017		500,000		514,210
90520EAC5	UNION BK OF CA NA		3.00		6/6/2016		7,800,000		8,144,526
90520EAE1	UNION BK OF CA NA		2.13		6/16/2017		3,400,000		3,396,013
91159HGY0	US BANCORP		1.38		9/13/2013		17,900,000		18,043,471
92933DAA8	WEA FINANCE LLC		7.50		6/2/2014		1,580,000		1,726,710
929903DT6	WACHOVIA CORPORATION		5.75		6/15/2017		17,300,000		20,141,794
949746QU8	WELLS FARGO & COMPANY		3.68		6/15/2016		2,000,000		2,128,441
94974BFE5	WELLS FARGO & COMPANY		1.50		7/1/2015		7,570,000		7,577,897
05252ABH3	ANZ MELBOURNE		1.21		1/10/2014		2,675,000		2,675,696
05567LU54	BNP PARIBAS		3.60		2/23/2016		2,520,000		2,547,413
05571AAB1	GROUP BPCE SA		2.38		10/4/2013		5,310,000		5,259,608
05572FAA1	BNP PARIBAS COVERED BONDS SA		2.20		11/2/2015		10,400,000		10,398,856
05947KAK6	BANCO BRADESCO S.A.		2.57		5/16/2014		700,000		694,870

Allied World Assurance Company Holdings, AG   Securities Listing as at June 30, 2012

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
06366QW86	BANK OF MONTREAL		2.50		1/11/2017		500,000		514,492
063679JJ4	BANK OF MONTREAL		2.63		1/25/2016		15,600,000		16,501,212
063679ZT4	BANK OF MONTREAL		1.95		1/30/2017		2,600,000		2,684,266
064149B97	BANK OF NOVA SCOTIA		2.38		12/17/2013		1,000,000		1,021,030
06415CAD1	BANK OF NOVA SCOTIA		1.05		3/20/2015		1,700,000		1,712,138
06415CAE9	BANK OF NOVA SCOTIA		1.75		3/22/2017		6,000,000		6,140,100
064255AB8	BANK OF TOKYO-MITSUBISHI UFJ L		3.85		1/22/2015		8,000,000		8,489,927
064255AH5	BANK OF TOKYO-MITSUBISHI UFJ L		2.35		2/23/2017		7,500,000		7,666,079
06675EAA8	BANQUE PSA FINANCE		3.38		4/4/2014		850,000		844,408
06739FFZ9	BARCLAYS BANK PLC		5.20		7/10/2014		4,700,000		4,957,346
06739FGP0	BARCLAYS BANK PLC		2.50		1/23/2013		2,000,000		2,015,300
136069DM0	CANADIAN IMPERIAL BK COMRC		2.60		7/2/2015		10,500,000		11,050,305
136069EH0	CANADIAN IMPERIAL BK COMRC		1.50		12/12/2014		8,000,000		8,161,121
20271RAA8	COMMONWEALTH BANK OF AUSTRALIA		1.95		3/16/2015		4,800,000		4,824,693
21685WBL0	RABOBANK NEDERLAND, UTRECHT		2.13		10/13/2015		5,000,000		5,019,022
21686CAD2	RABOBANK NEDERLAND UTREC		3.38		1/19/2017		500,000		514,787
22546QAA5	CREDIT SUISSE GROUP		5.50		5/1/2014		7,700,000		8,173,520
23329PAA8	DEN NORSKE BANK ASA		3.20		4/3/2017		5,275,000		5,325,948
2515A0NY5	DEUTSCHE BANK AG		4.88		5/20/2013		4,800,000		4,940,208
2515A0Q30	DEUTSCHE BK LDN		3.88		8/18/2014		1,000,000		1,039,691
2515A14E8	DEUTSCHE BK LDN		3.25		1/11/2016		1,250,000		1,280,186
25600WAA8	DNB NOR BLGKRDIT		2.10		10/14/2015		1,000,000		1,017,070
25600WAB6	DNB NOR BLGKRDIT		2.90		3/29/2017		21,800,000		22,699,468
40411EAB4	BANK OF SCOTLAND PLC		5.25		2/21/2017		17,005,000		18,662,138
44328MAB0	HSBC BANK PLC		3.50		6/28/2015		3,450,000		3,624,783
44328MAH7	HSBC BANK PLC		1.27		1/17/2014		7,500,000		7,516,350
44328MAJ3	HSBC BANK PLC		2.00		1/19/2014		2,000,000		2,016,399
44328MAL8	HSBC BANK PLC		3.10		5/24/2016		2,500,000		2,580,721
449786AM4	ING BANK NV		2.38		6/9/2014		5,925,000		5,876,329
44984WAC1	INEOS FINANCE PLC		8.38		2/15/2019		250,000		257,500
539473AG3	LLOYDS TSB BANK PLC		4.88		1/21/2016		775,000		814,823
539473AK4	LLOYDS TSB BANK PLC		2.82		1/24/2014		300,000		301,659
60688QAA3	MIZUHO CORPORATE BANK LTD		2.55		3/17/2017		3,225,000		3,286,814
63254AAA6	NATIONAL AUSTRALIA BANK LIMITE		2.00		3/9/2015		5,000,000		5,012,431
65535HAC3	NOMURA HOLDINGS INC		4.13		1/19/2016		500,000		508,166
65557CAA1	NORDEA BANK AB		3.70		11/13/2014		6,000,000		6,232,711
78008TLB8	ROYAL BANK OF CANADA		2.30		7/20/2016		1,000,000		1,030,143
78008TXA7	ROYAL BANK OF CANADA		1.45		10/30/2014		9,900,000		10,010,849
78010JCV2	ROYAL BANK OF SCOTLAND PLC THE		4.88		8/25/2014		3,900,000		4,012,997
78010XAF8	ROYAL BANK OF SCOTLAND PLC THE		2.89		8/23/2013		300,000		301,497
78010XAG6	ROYAL BANK OF SCOTLAND PLC - G		3.95		9/21/2015		1,500,000		1,522,430
78011HT39	ROYAL BANK OF SCOTLAND		1.84		10/15/2012		20,000,000		20,036,600
84650WAB2	SPAREBNK 1 BOLIG		2.63		5/26/2017		11,000,000		11,330,110
84650WAD8	SPAREBNK 1 BOLIG		2.30		6/30/2017		11,700,000		11,772,306
86960BAB8	SVENSKA HANDELSBANKEN AB		2.88		4/4/2017		7,500,000		7,632,032
87020LAA4	SWEDBANK HYPOTEK AB		2.95		3/28/2016		8,100,000		8,436,635
87020LAB2	SWEDBANK HYPOTEK AB		0.91		3/28/2014		6,700,000		6,648,211
90261XGD8	UBS AG STAMFORD BRANCH		4.88		8/4/2020		5,500,000		5,864,477
90261XGX4	UBS AG		2.25		1/28/2014		3,600,000		3,604,806
961214BH5	WESTPAC BANKING CORP		4.20		2/27/2015		1,000,000		1,064,510

Allied World Assurance Company Holdings, AG   Securities Listing as at June 30, 2012

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
G0R55ZLY4	ABBEY NATL TR SVCS PLC		2.61		2/16/2015		2,200,000		3,455,384
Y4864WAG4	KOREA EXC BK		4.88		1/14/2016		2,000,000		2,132,200
BRSAC4WT8	WAHA AEROSPACE BV		3.93		7/28/2020		2,125,000		2,215,313
N9636WAL1	WHITE NIGHTS FINANCE BV		10.50		3/8/2014		2,400,000		2,676,000
BRS9DRSB3	VNGD HLTH HLD II		0.00		1/29/2016		567,316		564,275
BRSA6EXM7	DYNCORP INTERNATIONAL INC		0.00		7/7/2016		62,164		61,970
BRSAU91V6	AMERICAN CAP STRAT LTD.		0.00		12/31/2013		42,086		41,244
BRSB44FR8	HARBOURVEST PARTNERS LLC		0.00		12/19/2016		801,501		797,493
BRSB82CD2	NUVEEN INVESTMENT INC		0.00		5/13/2017		1,890,536		1,858,397
BRSBG70Y9	REALOGY		0.00		10/10/2016		188,896		178,129
BRSBG72X9	REALOGY		0.00		10/10/2016		2,795,244		2,635,915
BRSBHPM99	TRANSUNION CORP		0.00		2/10/2018		2,302,525		2,299,647
BRSBK3FH4	SI ORGANIZATION INC		0.00		11/22/2016		97,634		95,193
BRSBQH2C2	ISTAR FINANCIAL INC.		0.00		6/28/2013		1,980,174		1,973,105
BRSBTCYJ0	ISTAR FINANCIAL INC		0.00		6/30/2014		110,000		109,607
BRSC10085	CNO FINANCIAL TL B L		0.00		9/30/2016		697,028		695,634
BRSC101R2	SPRINGLEAF FINANCIAL FUNDING C		0.00		5/10/2017		1,515,000		1,424,918
BRSDC7VW9	NUVEEN INVESTMENT INC		0.00		5/13/2017		460,000		460,000
BRSE78LL6	NUVEEN INVESTMENT INC		0.00		5/13/2017		84,464		83,303
BRSE9BR07	DJO FINANCE LLC/DJO FINANCE CO		0.00		9/15/2017		1,999,988		1,981,648
BRSEFJZK0	INTERNATIONAL LEASE FINANCE CO		0.00		4/12/2016		1,315,000		1,316,644
BRSEGYPQ4	EVEREST ACQUISITION LLC		0.00		4/2/2018		905,000		912,638
BRSEJ2MG6	SLS LAS VEGAS		0.00		5/2/2017		175,000		171,719
BRSEKNUF1	INEOS US FINANCE LLC		0.00		4/27/2018		4,069,800		3,979,369
BRSEL6TA0	EMDEON INC		0.00		11/2/2018		1,591,641		1,589,365
BRSELNYG4	INEOS US FINANCE LLC		0.00		4/27/2015		184,538		185,307
BRSEMA904	ON ASSIGNMENT, INC.		0.00		3/20/2019		394,013		390,072
BRSEP2974	SCHRADER INTERNATIONAL INC		0.00		4/27/2018		113,043		112,760
BRSEU8LC0	CONSTELLIUM		0.00		5/22/2018		620,000		604,500
BRSEUZVD7	RESCAP		0.00		11/15/2013		1,210,000		1,208,790
BRSEV0088	RESCAP		0.00		11/15/2013		175,000		175,438
BRSEVCW87	RPI FINANCE TRUST		0.00		11/9/2018		189,604		187,591
173094AA1	CITIGROUP INC		8.30		12/21/2077		4,463,000		4,467,463
00448MAA9	ACHMEA HYPOTHEEKBANK N.V. - LT		3.20		11/3/2014		35,216,000		36,490,820
10778XAA4	BRFKREDIT AS		2.05		4/15/2013		29,700,000		29,983,515
20272BAF1	COMMONWEALTH BANK AUSTRALIA, G		3.63		6/25/2014		40,000,000		42,315,201
20272BAK0	COMMONWEALTH BANK OF AUSTRALIA		2.90		9/17/2014		3,500,000		3,663,835
25214GAA1	DEXIA CREDIT LOCAL/NEW YORK		2.00		3/5/2013		22,000,000		21,668,206
31737UAH1	FINANCE FOR DANISH INDUSTRY IN		2.00		6/12/2013		4,900,000		4,955,125
55607EAL4	MACQUARIE BANK LTD - GTD		3.30		7/17/2014		2,000,000		2,103,160
62914AAB8	NIBC BANK NV - GTD		2.80		12/2/2014		1,600,000		1,660,064
G5577Y5Y2	LLYODS TSB BANK PLC - LT GTD		1.50		5/2/2017		3,300,000		5,220,475
							926,356,194		961,728,417
Corporate Debt Securities - Industrials
159864AB3	CHARLES RIVER LABS INTL INC.		2.25		6/15/2013		6,975,000		6,977,860
39153LAB2	GREATBATCH INC		2.25		6/15/2013		3,075,000		3,046,980
436440AA9	HOLOGIC, INC.		2.00		12/15/2037		8,900,000		8,753,488
451055AC1	ICONIX BRAND GROUP INC		2.50		6/1/2016		3,749,000		3,608,975
452327AC3	ILLUMINA INC		0.25		3/15/2016		4,625,000		4,108,827
470355AF5	JAMES RIVER COAL CO		4.50		12/1/2015		3,115,000		1,150,151

Allied World Assurance Company Holdings, AG   Securities Listing as at June 30, 2012

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
470355AH1	JAMES RIVER COAL CO		3.13		3/15/2018		5,070,000		1,435,317
496902AD9	KINROSS GOLD CORP		1.75		3/15/2028		6,370,000		6,327,966
502413AW7	L-3 COMMUNICATIONS HOLDINGS IN		3.00		8/1/2035		8,715,000		8,525,274
582411AJ3	MCMORAN EXPLORATION CO.		4.00		12/30/2017		1,650,000		1,796,438
584690AC5	MEDICIS PHARM CORP		1.38		6/1/2017		1,125,000		1,121,059
608753AA7	MOLYCORP INC		3.25		6/15/2016		3,180,000		2,588,202
670704AC9	NUVASIVE INC		2.75		7/1/2017		3,955,000		3,864,035
70336TAA2	PATRIOT COAL CORP		3.25		5/31/2013		4,565,000		1,234,545
74973WAA5	RTI INTL METALS, INC.		3.00		12/1/2015		1,725,000		1,765,141
80004CAD3	SANDISK CORPORATION		1.50		8/15/2017		1,750,000		1,803,148
84359YAA4	SOUTHERN PACIFIC RESOURCE CORP		6.00		6/30/2016		350,000		348,060
86074QAF9	STILLWATER MINING COMPANY		1.88		3/15/2028		450,000		442,899
88632QAA1	TIBCO SOFTWARE INC.		2.25		5/1/2032		2,750,000		2,674,524
896522AF6	TRINITY INDUSTRIES INC		3.88		6/1/2036		2,300,000		2,279,128
94770VAF9	WEBMD HEALTH CORP		2.50		1/31/2018		4,100,000		3,437,440
94770VAH5	WEBMD HEALTH CORP		2.25		3/31/2016		4,680,000		4,365,925
98235TAA5	WRIGHT MEDICAL GRP INC.		2.63		12/1/2014		3,220,000		2,914,100
BRSDZCRW8	SIEMENS FIN NV		1.65		8/16/2019		2,750,000		2,619,238
00037BAA0	ABB FINANCE USA INC		1.63		5/8/2017		3,440,000		3,450,390
00206RAV4	AT&T CO		2.50		8/15/2015		7,200,000		7,496,243
00206RBC5	AT&T INC		1.60		2/15/2017		6,000,000		5,991,982
00817YAK4	AETNA INC		1.75		5/15/2017		750,000		747,207
00846UAF8	AGILENT TECHNOLOGIES INC		2.50		7/15/2013		7,000,000		7,100,732
02377VAA0	AMERICAN AIRLINES 2011-2 CLASS		8.63		4/15/2023		150,424		158,697
02666QF32	AMERICAN HONDA FINANCE CORPORA		2.38		3/18/2013		1,500,000		1,520,067
031162BQ2	AMGEN INC		2.13		5/15/2017		500,000		501,032
032511AX5	ANADARKO PETROLEUM CO		5.95		9/15/2016		2,200,000		2,488,899
03523TAM0	ANHEUSER-BUSCH INBEV WORLDWIDE		4.13		1/15/2015		16,900,000		18,196,645
03523TBA5	ANHEUSER-BUSCH INBEV WORLDWIDE		2.88		2/15/2016		6,000,000		6,337,629
03523TBC1	ANHEUSER-BUSCH INBEV WORLDWIDE		1.02		1/27/2014		1,500,000		1,512,240
037411BB0	APACHE CORPORATION		1.75		4/15/2017		4,350,000		4,404,067
038521AG5	ARAMARK SERVICES INC		3.97		2/1/2015		95,000		94,288
04044TAC0	ARISTOTLE HOLDING INC		3.50		11/15/2016		1,500,000		1,578,914
05329WAJ1	AUTONATION INC		6.75		4/15/2018		310,000		337,900
075887BB4	BECTON DICKINSON AND COMPANY		1.75		11/8/2016		1,000,000		1,016,848
079860AA0	BELLSOUTH CORPORATION		4.46		4/26/2021		14,500,000		14,866,125
097014AK0	BOEING CAPITAL CORPORATION		3.25		10/27/2014		7,000,000		7,399,938
10138MAH8	BOTTLING GROUP LLC		6.95		3/15/2014		7,000,000		7,732,396
115637AK6	BROWN-FORMAN CORPORATION		2.50		1/15/2016		3,500,000		3,604,286
120568AM2	BUNGE LIMITED FINANCE CORP		5.35		4/15/2014		6,024,000		6,345,849
126650BE9	CVS CAREMARK CORP		6.13		8/15/2016		500,000		583,798
126650BH2	CVS CAREMARK CORP		5.75		6/1/2017		750,000		879,911
126650BQ2	CVS PASS-THROUGH TRUST		6.94		1/10/2030		1,981,175		2,317,975
14149YAG3	CARDINAL HEALTH INC		4.00		6/15/2015		750,000		802,782
141781BA1	CARGILL INC		1.90		3/1/2017		6,000,000		6,032,051
14912L5E7	CATERPILLAR FINL SERV CORP		1.63		6/1/2017		6,000,000		6,026,873
17275RAC6	CISCO SYSTEMS INC		5.50		2/22/2016		4,300,000		4,981,863
17275RAG7	CISCO SYSTEMS INC		2.90		11/17/2014		1,400,000		1,476,147
18451QAC2	CLEAR CHANNEL WORLDWIDE HOLDIN		9.25		12/15/2017		88,000		95,480
18451QAD0	CLEAR CHANNEL WORLDWIDE HOLDIN		9.25		12/15/2017		848,000		926,440

Allied World Assurance Company Holdings, AG   Securities Listing as at June 30, 2012

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
191216AU4	COCA-COLA COMPANY THE		1.80		9/1/2016		5,000,000		5,135,947
19190AAA5	COFFEYVILLE RESOURCES LLC		9.00		4/1/2015		59,000		62,540
20030NAB7	COMCAST CORPORATION		6.50		1/15/2015		1,500,000		1,685,167
20030NAL5	COMCAST CORPORATION		5.90		3/15/2016		7,500,000		8,632,224
20825CAT1	CONOCOPHILLIPS		4.60		1/15/2015		4,000,000		4,375,495
21079UAA3	CONTINENTAL AIRLINES		7.25		5/10/2021		4,508,728		5,072,319
21079VAA1	CONTINENTAL AIRLINES INC.		4.75		7/12/2022		2,353,773		2,471,461
22818VAB3	CROWN AMERICAS LLC/CROWN AMERI		6.25		2/1/2021		500,000		545,000
22822RAZ3	CROWN CASTLE TOWERS LLC		4.88		8/15/2040		5,250,000		5,699,977
233835AW7	DAIMLERCHRYSLER NA HLDG		6.50		11/15/2013		13,100,000		14,064,947
244199BC8	DEERE & COMPANY		4.38		10/16/2019		15,400,000		17,800,541
24422EQY8	JOHN DEERE CAPITAL CORPORATION		2.95		3/9/2015		500,000		527,792
24422ERN1	JOHN DEERE CAPITAL CORPORATION		1.40		3/15/2017		500,000		499,316
24702RAK7	DELL INC		1.40		9/10/2013		2,975,000		2,999,561
24702RAL5	DELL INC		2.30		9/10/2015		4,650,000		4,772,166
247361ZH4	DELTA AIR LINES INC.		4.95		11/23/2020		137,433		145,679
24736TAA5	DELTA AIR LINES INC.		7.75		6/17/2021		1,642,578		1,864,326
249030AB3	DENTSPLY INTL INC.		2.75		8/15/2016		1,475,000		1,502,107
25459HAV7	DIRECTV HOLDINGS LL/DIR TV FIN		3.13		2/15/2016		2,400,000		2,495,564
25459HBE4	DIRECTV HOLDINGS LLC/DIRECTV F		2.40		3/15/2017		1,200,000		1,206,369
25468PCS3	WALT DISNEY COMPANY THE		1.13		2/15/2017		500,000		497,200
260543CA9	DOW CHEMICAL COMPANY THE		5.90		2/15/2015		6,900,000		7,686,295
263534BY4	EI DUPONT DE NEMOURS & CO		3.25		1/15/2015		1,000,000		1,060,040
263534CG2	EI DUPONT DE NEMOURS & CO		1.75		3/25/2014		6,838,000		6,977,809
26875PAJ0	EOG RESOURCES INC		1.22		2/3/2014		3,000,000		3,025,200
277432AM2	EASTMAN CHEMICAL COMPANY		2.40		6/1/2017		1,625,000		1,637,786
27876GBF4	DISH DBS CORP		7.00		10/1/2013		5,000,000		5,262,500
278865AK6	ECOLAB INC.		3.00		12/8/2016		4,500,000		4,742,998
291011AZ7	EMERSON ELECTRIC CO		4.13		4/15/2015		1,000,000		1,081,285
29264FAG1	ENDO PHARMACEUTICALS HLDGS INC		7.00		7/15/2019		1,000,000		1,087,500
302182AF7	EXPRESS SCRIPTS, INC.		3.13		5/15/2016		2,400,000		2,497,356
337738AK4	FISERV INC		3.13		6/15/2016		6,025,000		6,239,619
345397VN0	FORD MOTOR CREDIT COMPANY LLC		7.00		4/15/2015		7,000,000		7,805,000
35168XAA9	FRAC TECH SERVICES LLC		8.13		11/15/2018		575,000		579,313
37373UAA2	GERDAU HOLDINGS INC		7.00		1/20/2020		3,000,000		3,348,750
377372AA5	GLAXOSK CAP INC		4.38		4/15/2014		1,400,000		1,492,256
38259PAC6	GOOGLE		2.13		5/19/2016		500,000		520,398
404119BK4	HCA INC		7.25		9/15/2020		7,000,000		7,700,000
404121AC9	HCA INC		6.50		2/15/2020		530,000		575,050
428236AQ6	HEWLETT-PACKARD COMPANY		4.50		3/1/2013		2,000,000		2,045,600
428236BP7	HEWLETT-PACKARD COMPANY		3.00		9/15/2016		5,950,000		6,120,751
428302AA1	HEXION US FINANCE CORP		6.63		4/15/2020		460,000		472,650
437076AR3	HOME DEPOT INC		5.25		12/16/2013		5,600,000		5,968,792
45031TAR5	ITC DELTACOM INC		10.50		4/1/2016		110,000		115,500
458140AH3	INTEL CORPORATION		1.95		10/1/2016		6,000,000		6,203,558
459200GT2	IBM CORP		1.00		8/5/2013		5,000,000		5,027,093
459200GX3	IBM CORP		1.95		7/22/2016		2,000,000		2,060,845
459284AA3	INTERNATIONAL CCE INC		2.13		9/15/2015		1,500,000		1,531,385
460690BH2	INTERPUBLIC GRP OF CO, INC.		4.00		3/15/2022		4,000,000		4,028,232
478160AX2	JOHNSON & JOHNSON		1.20		5/15/2014		500,000	��	505,924

Allied World Assurance Company Holdings, AG   Securities Listing as at June 30, 2012

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
50075NAX2	KRAFT FOODS INC.		6.75		2/19/2014		9,680,000		10,593,837
50076QAA4	KRAFT FOODS INC.		2.25		6/5/2017		9,100,000		9,287,894
527298AJ2	LEVEL 3 FINANCING INC		4.51		2/15/2015		270,000		260,550
532457BB3	ELI LILLY AND COMPANY		5.20		3/15/2017		250,000		290,263
532716AT4	LIMITED BRANDS		6.63		4/1/2021		410,000		448,950
548661CY1	LOWES COMPANIES INC		1.63		4/15/2017		5,800,000		5,785,345
58155QAC7	MCKESSON CORP		3.25		3/1/2016		2,825,000		3,002,780
58405UAF9	MEDCO HEALTH SOLUTIONS INC.		2.75		9/15/2015		2,975,000		3,043,497
585055AP1	MEDTRONIC INC		4.50		3/15/2014		4,700,000		4,976,377
58933YAB1	MERK & CO INC		2.25		1/15/2016		2,019,000		2,093,658
594918AB0	MICROSOFT CORPORATION		2.95		6/1/2014		1,250,000		1,306,802
60871RAB6	MOLSON COORS BREWING		2.00		5/1/2017		1,675,000		1,691,979
629568AT3	NABORS INDUSTRIES INC		9.25		1/15/2019		5,795,000		7,487,165
63946BAA8	NBC UNIVERSAL MEDIA LLC		2.10		4/1/2014		3,500,000		3,562,750
654742AA3	NISSAN MOTOR ACCEPT CO		3.25		1/30/2013		1,250,000		1,262,063
68268NAF0	ONEOK, INC.		3.25		2/1/2016		3,550,000		3,720,149
68402LAC8	ORACLE CORP		5.25		1/15/2016		500,000		570,889
709599AC8	PENSKE TRUCK LEASING COMPANY L		3.13		5/11/2015		1,825,000		1,833,778
713448BK3	PEPSICO INC		3.75		3/1/2014		7,000,000		7,351,566
717081DA8	PFIZER INC.		5.35		3/15/2015		3,400,000		3,798,192
718172AG4	PHILIP MORRIS INTERNATIONAL IN		6.88		3/17/2014		7,950,000		8,767,165
718172AJ8	PHILIP MORRIS INTERNATIONAL IN		2.50		5/16/2016		6,000,000		6,287,445
742718DQ9	PROCTER & GAMBLE COMPANY		3.15		9/1/2015		2,300,000		2,464,599
742718DS5	PROCTER & GAMBLE COMPANY		1.80		11/15/2015		1,500,000		1,545,531
755111BS9	RAYTHEON COMPANY		1.63		10/15/2015		3,300,000		3,355,333
75605EBX7	REALOGY CORP		7.63		1/15/2020		385,000		401,363
761735AC3	REYNOLDS GROUP HOLDINGS INC		6.88		2/15/2021		580,000		604,650
78355HJR1	RYDER SYSTEM INC.		3.50		6/1/2017		5,875,000		6,081,726
78387GAL7	AT&T INC		5.63		6/15/2016		1,600,000		1,861,917
78573AAB6	SABMILLER HOLDINGS INC		2.45		1/15/2017		3,500,000		3,601,804
790849AE3	ST. JUDE MEDICAL INC.		3.75		7/15/2014		5,353,000		5,620,135
790849AH6	ST. JUDE MEDICAL INC.		2.50		1/15/2016		5,000,000		5,157,700
844030AH9	SOUTHERN UNION CO		3.48		11/1/2066		4,850,000		3,946,688
852061AK6	SPRINT NEXTEL CORPORATION		9.00		11/15/2018		370,000		415,325
852061AQ3	SPRINT NEXTEL CORPORATION		7.00		3/1/2020		1,045,000		1,089,413
87612EAP1	TARGET CORPORATION		5.38		5/1/2017		250,000		294,614
88033GBP4	TENET HEALTHCARE CORPORATION		6.25		11/1/2018		270,000		284,850
882508AR5	TEXAS INSTRUMENTS INCORPORATED		2.38		5/16/2016		250,000		262,740
883556AW2	THERMO FISHER SCIENTIFIC INC		2.05		2/21/2014		2,000,000		2,043,490
883556BA9	THERMO FISHER SCIENTIFIC		2.25		8/15/2016		3,850,000		3,999,464
88579YAD3	3M COMPANY		1.38		9/29/2016		250,000		254,619
88579YAE1	3M COMPANY		1.00		6/26/2017		300,000		299,709
88732JAK4	TIME WARNER CABLE INC		6.20		7/1/2013		1,000,000		1,051,583
89233P4B9	TOYOTA MOTOR CREDIT CORP		3.20		6/17/2015		9,409,000		10,015,915
89233P6D3	TOYOTA MOTOR CREDIT CORP		1.75		5/22/2017		1,000,000		1,006,555
90321NAA0	UR FINANCING ESCROW CORP		5.75		7/15/2018		145,000		150,800
913017BU2	UNITED TECHNOLOGIES CORP		1.80		6/1/2017		5,500,000		5,609,422
913017BY4	UNITED TECHNOLOGIES CORP		1.20		6/1/2015		3,750,000		3,792,686
91324PAL6	UNITED HEALTH GROUP INC		5.00		8/15/2014		450,000		487,572
91911XAS3	BIOVAIL CORP		7.25		7/15/2022		285,000		285,713

Allied World Assurance Company Holdings, AG   Securities Listing as at June 30, 2012

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
91913YAM2	VALERO ENERGY CORPORATION		6.13		6/15/2017		750,000		872,928
92343VAY0	VERIZON COMMUNICATIONS INC.		3.00		4/1/2016		18,600,000		19,732,358
92343VAZ7	VERIZON COMMUNICATIONS INC.		1.07		3/28/2014		2,000,000		2,017,580
92344SAP5	CELLCO PARTNERSHIP/VERIZON WIR		5.55		2/1/2014		4,000,000		4,277,751
92553PAG7	VIACOM INC		3.50		4/1/2017		250,000		268,906
931142CQ4	WAL-MART STORES INC		3.20		5/15/2014		2,000,000		2,094,251
931142DA8	WAL-MART STORES INC		1.63		4/15/2014		18,714,000		19,084,104
947074AJ9	WEATHERFORD INTL, INC.		6.35		6/15/2017		750,000		865,631
94973VAK3	WELLPOINT INC		5.25		1/15/2016		500,000		559,247
983024AE0	WYETH		5.50		2/1/2014		500,000		537,203
983024AJ9	WYETH		5.50		2/15/2016		1,000,000		1,148,887
984121BY8	XEROX CORPORATION		8.25		5/15/2014		1,000,000		1,113,999
98419MAC4	XYLEM INC		3.55		9/20/2016		4,475,000		4,720,761
98919UAA5	ZAYO ESCROW CORP		8.13		1/1/2020		780,000		815,100
98919UAC1	ZAYO ESCROW CORP		10.13		7/1/2020		520,000		551,200
002447AA8	AWAS AVIATION CAPITAL LTD		7.00		10/17/2016		85,600		88,596
02364WBC8	AMERICA MOVIL SA		2.38		9/8/2016		1,800,000		1,845,504
034863AA8	ANGLO AMERICAN CAPITAL PLC		9.38		4/8/2014		11,280,000		12,715,834
03746AAC4	APACHE FIN CANADA CORP		4.38		5/15/2015		1,020,000		1,109,511
03938LAW4	ARCELORMITTAL		4.50		2/25/2017		1,100,000		1,076,032
05530QAC4	BAT INTERNATIONAL FINANCE PLC		8.13		11/15/2013		5,255,000		5,725,759
055451AG3	BHP BILLITON FINANCE (USA) LTD		5.50		4/1/2014		1,750,000		1,893,817
05565QBH0	BP CAPITAL MARKETS PLC		3.88		3/10/2015		7,385,000		7,919,976
05565QBY3	BP CAPITAL MARKETS PLC		1.85		5/5/2017		7,300,000		7,366,301
067901AF5	BARRICK GOLD CORP		2.90		5/30/2016		600,000		628,309
111021AG6	BRITISH TELECOMMUNICATIONS PLC		2.00		6/22/2015		2,775,000		2,806,772
12800UAL4	CAISSE CENTRALE		1.60		3/6/2017		6,000,000		6,081,660
22303QAK6	COVIDIEN INTERNATIONAL FINANCE		2.80		6/15/2015		10,800,000		11,234,857
25243YAR0	DIAGEO CAPITAL PLC		1.50		5/11/2017		2,850,000		2,857,986
35177PAS6	FRANCE TELECOM		4.38		7/8/2014		4,700,000		4,937,714
35177PAU1	FRANCE TELECOM		2.13		9/16/2015		1,000,000		1,004,651
37373WAA8	METALURGICA GERDAU SA		5.75		1/30/2021		3,300,000		3,417,478
377373AC9	GLAXOSMITHKLINE CAPITAL PLC		1.50		5/8/2017		7,250,000		7,256,727
44841AAA6	HUTCHISON WHAMPOA INTERNATIONA		4.63		9/11/2015		3,100,000		3,310,506
66989PAA8	NOVATEK FINANCE LIMITED		5.33		2/3/2016		4,000,000		4,160,480
675757AA6	ODEBRECHT DRILL VIII/IX		6.35		6/30/2021		1,960,000		2,048,200
714264AF5	PERNOD-RICARD SA		2.95		1/15/2017		2,500,000		2,531,858
767201AF3	RIO TINTO FINANCE USA LIMITED		8.95		5/1/2014		10,975,000		12,527,003
767201AJ5	RIO TINTO FINANCE USA LIMITED		1.88		11/2/2015		4,900,000		5,011,979
76720AAA4	RIO TINTO FINANCE (USA) PLC		1.13		3/20/2015		1,400,000		1,401,893
77509NAK9	ROGERS COMMUN INC.		5.50		3/15/2014		10,000,000		10,703,709
78572MAD7	SABMILLER PLC		6.50		7/1/2016		6,250,000		7,362,923
80105NAC9	SANOFI AVENTIS		0.77		3/28/2014		1,100,000		1,104,092
801060AA2	SANOFI AVENTIS		1.20		9/30/2014		5,000,000		5,054,194
806854AA3	SCHLUMBERGER INVESTMENT SA		1.95		9/14/2016		1,950,000		1,993,611
80685PAC2	SCHLUMBERGER NORGE AS		1.95		9/14/2016		2,700,000		2,760,384
822582AH5	SHELL INTL FINAN		3.25		9/22/2015		1,500,000		1,610,084
84359YAB2	SOUTHERN PACIFIC RESOURCE CORP		6.00		6/30/2016		1,800,000		1,783,491
87927VAL2	TELECOM ITALIA CAPITAL		4.95		9/30/2014		1,250,000		1,240,625
87938WAJ2	TLEFONICA EMISNS		4.95		1/15/2015		12,000,000		11,340,000

Allied World Assurance Company Holdings, AG   Securities Listing as at June 30, 2012

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
87938WAN3	TLEFONICA EMISNS		3.99		2/16/2016		1,000,000		892,500
88165FAC6	TEVA PHARMAC FIN		2.40		11/10/2016		600,000		622,182
89153VAA7	TOTAL CAPITAL INTERNATIONAL SA		1.50		2/17/2017		500,000		500,889
89153VAC3	TOTAL CAPITAL INTERNATIONAL SA		1.55		6/28/2017		6,000,000		6,008,620
902118BN7	TYCO INTERNATIONAL FINANCE SA		3.38		10/15/2015		250,000		269,546
90320RAA2	UNITYMEDIA GMBH		8.13		12/1/2017		250,000		265,651
91911TAF0	VALE OVERSEAS LIMITED		6.25		1/11/2016		600,000		673,985
92857WAF7	VODAFONE GROUP PLC		5.00		12/16/2013		4,700,000		4,985,416
92857WAP5	VODAFONE GROUP PLC		5.63		2/27/2017		10,300,000		12,046,579
928670AJ7	VOLKSWAGEN INTL FIN NV		1.63		3/22/2015		7,500,000		7,548,064
947075AD9	WEATHERFORD INTL INC		6.00		3/15/2018		1,347,000		1,528,662
980888AC5	WOOLWORTHS LTD		2.55		9/22/2015		4,515,000		4,648,624
L9057MAA9	TNK-BP FINANCE SA		7.50		7/18/2016		2,750,000		3,046,753
368266AN2	GAZ CAPITAL FOR GAZPROM		5.09		11/29/2015		2,750,000		2,877,188
89378TAB9	TRANSNET LTD		4.50		2/10/2016		5,950,000		6,203,113
BRS3D32G6	GRAY TELEVISION INC.		0.00		12/31/2014		1,477,159		1,458,694
BRS3GJWJ9	SYNAGRO TECH, INC.		0.00		4/2/2014		327,054		283,991
BRS3H8370	REALOGY		0.00		10/10/2013		134,379		125,308
BRS3SKNL8	OUTBACK STEAKHOUSE, INC.		0.00		6/14/2014		76,873		75,564
BRS3YPRC6	CLAIRES STORES, INC.		0.00		5/29/2014		1,017,403		964,203
BRS43KVJ9	OUTBACK STEAKHOUSE, INC.		0.00		6/14/2013		7,627		7,497
BRS448NT2	COMMUNITY HLTH SYST INC		0.00		7/25/2014		170,696		168,231
BRS47V568	CENGAGE (THOMSON LEARNING) TL		0.00		7/3/2014		178,089		164,732
BRS47V6P5	BIOMET INC		0.00		3/25/2015		653,327		644,579
BRS4BYYS7	SABRE INC		0.00		9/30/2014		398,947		381,493
BRS4QJKV2	FREESCALE SEMICONDUCTOR INC.		0.00		12/1/2016		1,320,000		1,247,400
BRS4QJNT4	LEVEL 3 COMMS, INC.		0.00		3/13/2014		2,025,000		1,987,031
BRS53RAN5	FIRST DATA CORPORATION		0.00		9/24/2014		712,554		685,448
BRS59XBE5	FIRST DATA CORPORATION		0.00		9/24/2014		1,579,796		1,519,700
BRS5LH024	SERVICEMASTER CO		0.00		7/24/2014		1,769,044		1,745,976
BRS5N4E26	FIRST DATA CORPORATION		0.00		9/24/2014		700,000		673,372
BRS5NEVC3	SEQUA CORP		0.00		12/3/2014		2,969,729		2,900,593
BRS6C3V60	HARRAHS OPERATING COMPANY INC.		0.00		1/28/2015		751,766		700,398
BRS6C4DR2	HARRAHS ENTERTAINMENT INC		0.00		1/28/2015		3,437,674		3,202,778
BRS6UPUC9	COINMACH SERVICE CORP		0.00		11/14/2014		1,397,128		1,323,779
BRS6UQB20	CERIDIAN CORP		0.00		11/9/2014		1,738,794		1,682,284
BRS6WT6X0	SERVICEMASTER CO		0.00		7/24/2014		176,163		173,866
BRS6XRBJ8	PQ CORP		0.00		7/30/2014		1,850,363		1,786,600
BRS6ZY780	CENGAGE LEARNING ACQUISITIONS		0.00		7/3/2014		60,623		57,687
BRS740TY5	NEWSDAY LLC		0.00		8/1/2013		1,300,000		1,321,125
BRS748CX8	FEDERAL MOGUL TL B		0.00		12/29/2014		1,456,770		1,383,932
BRS748CY6	FEDERAL MOGUL CORP		0.00		12/28/2015		439,288		417,324
BRS75LWJ7	CLEAR CHANNEL COMMUNICATIONS		0.00		1/29/2016		1,154,672		919,893
BRS7BLBL8	CCS CORP		0.00		11/14/2014		1,546,780		1,495,412
BRS7M2KM6	AVAYA INC.		0.00		10/24/2014		766,415		721,648
BRS8CFLV5	SUNGARD DATA SYSTEMS INC.		0.00		2/28/2016		396,286		391,004
BRS8E88L6	NIELSEN FINANCE LLC		0.00		5/2/2016		1,508,843		1,502,431
BRS8SPPC4	HARRAHS OPERATING COMPANY INC.		0.00		10/31/2016		1,204,427		1,217,976
BRS8ZGYZ5	MICHAELS STORES, INC.		0.00		7/31/2016		1,720,329		1,717,456
BRS9FKAK5	WM BOLTHOUSE FARMS INC		0.00		2/11/2016		120,599		120,826

Allied World Assurance Company Holdings, AG   Securities Listing as at June 30, 2012

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
BRS9NN9D8	CHARTER COMMUNICATIONS HOLDING		0.00		9/6/2016		1,188,979		1,179,075
BRS9PGQM2	ARAMARK CORP		0.00		7/26/2016		8,639		8,561
BRS9PGR33	ARAMARK CORP		0.00		7/26/2016		131,361		130,171
BRS9S2GC3	AFFINION GROUP		0.00		10/9/2016		290,216		263,952
BRS9SHAY8	HCA INC		0.00		3/31/2017		760,000		738,340
BRS9SYDG7	INTEGRA TELECO		0.00		4/15/2015		171,500		164,854
BRSADEPT3	ALTEGRITY INC		0.00		2/21/2015		859,696		849,663
BRSADRQZ9	VODAFONE AMERICAS FINANCE 2 IN		0.00		8/11/2015		1,984,231		2,004,073
BRSAGFDE3	CHEMTURA CORPORATION		0.00		8/29/2016		1,125,000		1,124,066
BRSAGM7B1	TOYS R US DELAWR		0.00		9/1/2016		534,219		501,055
BRSAQNGR3	ADVANCE PIERRE FOODS		0.00		9/30/2016		2,042,352		2,048,316
BRSAQNQH4	ADVANCE PIERRE FOODS		0.00		9/29/2017		70,000		70,175
BRSATYGN5	GOODMAN GLOBAL INC		0.00		10/28/2016		2,842,237		2,837,377
BRSAUE236	DAVITA INC		0.00		10/20/2016		1,471,545		1,467,116
BRSAWQ120	UNIVISION COMMUNICATIONS INC.		0.00		3/31/2017		2,086,466		1,973,025
BRSAZMN71	MEDASSETS INC		0.00		11/16/2016		869,442		871,077
BRSAZTC86	COMMUNITY HLTH SYST INC		0.00		1/25/2017		1,214,053		1,194,762
BRSB41VP0	BRESNAN HLDG		0.00		12/14/2017		1,991,622		1,976,684
BRSB5PYE8	INTELSAT JACKSON		0.00		4/2/2018		5,395,963		5,383,606
BRSB93KD0	CONVATEC INC		0.00		12/22/2016		950,134		948,946
BRSB93S67	CDW CORPORATION		0.00		7/15/2017		1,070,551		1,045,800
BRSBBKBD9	UCI INTERNATIONAL TL B		0.00		7/26/2017		123,125		122,304
BRSBD2QV1	BOOZ ALLEN HAMILTON INC		0.00		8/3/2017		147,321		147,091
BRSBGF0L9	STYRON CORP		0.00		8/2/2017		491,615		459,969
BRSBGXH81	DEL MONTE FOODS CO		0.00		3/8/2018		1,520,404		1,496,655
BRSBH1FB5	TWCC HOLDING CORP		0.00		2/13/2017		1,003,952		1,001,443
BRSBH7HM6	AVAYA INC.		0.00		10/26/2017		1,126,822		995,976
BRSBH8VK2	VERTAFORE INC		0.00		7/29/2016		314,411		312,578
BRSBHFX32	AXCAN INTER HLDG		0.00		2/10/2017		1,819,244		1,759,209
BRSBHN254	CPG INTERNATIONAL I INC		0.00		2/18/2017		841,716		805,943
BRSBHYHF2	WALTER ENERGY INC		0.00		4/2/2018		1,232,991		1,206,408
BRSBJARY0	INTERACTIVE DATA CORP		0.00		2/11/2018		2,572,627		2,525,651
BRSBJK2P4	REYNOLDS GROUP HOLDINGS INC		0.00		2/9/2018		885,496		888,959
BRSBK2348	GYMBOREE CORP		0.00		2/23/2018		280,000		264,443
BRSBK71J6	BUSCH ENTERTAINMENT LLC		0.00		8/17/2017		905,716		899,829
BRSBK9AU7	TRANSDIGM GROUP INC		0.00		2/14/2017		1,097,529		1,095,246
BRSBK9U01	MOMENTIVE PERFORMANCE MATERIAL		0.00		5/5/2015		132,525		127,980
BRSBKZS71	GNC CORPORATION		0.00		3/2/2018		1,356,250		1,348,791
BRSBLA9P6	KNOLOGY INC		0.00		8/18/2017		861,929		858,688
BRSBLUS55	US TELEPACI		0.00		2/23/2017		1,817,634		1,672,224
BRSBLUUU7	MICHAEL FOODS, INC.		0.00		2/25/2018		384,523		384,361
BRSBLZKK9	NBTY, INC.		0.00		10/2/2017		299,439		298,756
BRSBMD3R1	PETCO ANIMAL SUPPLIES, INC.		0.00		11/24/2017		2,009,274		1,991,190
BRSBMSAB5	NEXEO SOLUTIONS LLC		0.00		9/8/2017		1,289,209		1,253,755
BRSBN61P1	TOMKINS PLC		0.00		9/29/2016		1,988,580		1,985,597
BRSBNH1C6	DINEEQUITY INC		0.00		10/19/2017		85,000		84,539
BRSBNJXW3	UNIVR		0.00		6/30/2017		946,046		927,229
BRSBPT1D6	GENTEK HOLDING LLC		0.00		10/6/2015		446,743		442,647
BRSBPYY56	ARMSTRONG WORLD INDUSTRIES INC		0.00		3/10/2018		1,186,120		1,175,955
BRSBPZM15	NOVELIS INC/GA		0.00		3/10/2017		1,643,562		1,609,327

Allied World Assurance Company Holdings, AG   Securities Listing as at June 30, 2012

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
BRSBQ2FS6	SINCLAIR TELEVISION GROUP INC		0.00		10/28/2016		699,071		699,071
BRSBQFU50	IMS HEALTH INCORPORATED		0.00		8/26/2017		1,189,374		1,180,953
BRSBR2E98	JMC STEEL GROUP		0.00		4/1/2017		769,049		759,436
BRSBR4P35	JO-ANN STORES		0.00		3/16/2018		704,994		694,419
BRSBRMCQ8	WARNER CHILCOTT CORP		0.00		3/15/2018		725,235		721,268
BRSBRMD53	WARNER CHILCOTT CORP		0.00		3/15/2018		362,617		360,634
BRSBRMD95	WARNER CHILCOTT CORP		0.00		3/15/2018		498,599		495,872
BRSBRMFR3	METROPCS WIRELESS INC		0.00		3/19/2018		960,948		937,376
BRSBRN2H7	MEG ENERGY CORP		0.00		3/18/2018		2,007,319		1,992,264
BRSBT2DD8	FIRST DATA CORPORATION		0.00		3/23/2018		3,981,168		3,646,272
BRSBTMS22	WESCO AIRCRAFT		0.00		4/7/2017		81,997		81,895
BRSBW6C87	AMERISTAR CASINOS, INC.		0.00		4/16/2018		540,841		540,165
BRSBWG6S8	DELTA AIR LINES INC.		0.00		4/20/2017		740,242		737,933
BRSBXNF03	AMER ROCK SLT CO		0.00		4/25/2017		1,109,397		1,053,583
BRSBYALT0	EMERGENCY MEDICAL SVCS CORP		0.00		5/25/2018		1,477,008		1,459,003
BRSBZZDX4	GOLDEN LIVING		0.00		5/4/2018		68,787		64,832
BRSBZZFY0	IASIS HLTHCARE CORP		0.00		5/3/2018		583,700		571,542
BRSC095F6	IPAYMENT INC.		0.00		5/8/2017		775,630		776,119
BRSC103Q2	KAR HOLDINGS		0.00		5/19/2017		1,774,388		1,781,042
BRSC106T3	HCA INC		0.00		5/1/2018		490,000		475,148
BRSC2UZX5	SENSATA TECHNOLOGIES FINANCE C		0.00		5/12/2018		884,379		877,331
BRSC3G4F8	NEIMAN MARCUS GROUP INC. THE		0.00		5/16/2018		760,000		750,120
BRSC4T6W0	BAKERCORP		0.00		6/1/2018		680,149		675,048
BRSC529Z8	DUNKIN BRANDS INC		0.00		11/23/2017		1,161,177		1,144,340
BRSC5JRR9	TOYS R US DELAWR		0.00		5/25/2018		381,969		345,999
BRSC5WJ99	ASURION CORP		0.00		5/24/2018		1,371,059		1,362,271
BRSC6D3K2	QUINTILES TRANSNATIONAL CORP.		0.00		6/8/2018		1,002,309		989,770
BRSC7W2L8	AWAS AVIATION SERVICES INC		0.00		6/10/2016		1,182,103		1,179,148
BRSC8PKC2	BASS PRO GROUP LLC		0.00		6/13/2017		872,229		872,596
BRSC96U16	LAUREATE EDUCATION INC		0.00		6/15/2018		3,120,199		2,972,957
BRSCB4WP3	AMC NETWORKS INC		0.00		12/31/2018		862,763		855,481
BRSCCYM28	DOLE FOOD CO INC.		0.00		7/8/2018		547,819		547,129
BRSCCZ003	DOLE FOOD CO INC.		0.00		7/8/2018		1,008,281		1,007,011
BRSCESKE5	TEREX CORPORATION		0.00		4/28/2017		1,568,349		1,571,298
BRSCF42A5	INVENTIV HEALTH INC		0.00		5/15/2018		1,320,870		1,233,917
BRSCH2HF0	AUTOPARTS HOLDINGS LTD		0.00		7/29/2017		1,265,438		1,216,402
BRSCHJ8S5	CUMULUS MED INC.		0.00		9/17/2018		1,412,498		1,405,181
BRSCHUN87	SUNCOKE ENERGY INC		0.00		7/26/2018		521,054		518,448
BRSCJ91H6	REYNOLDS GROUP HOLDINGS INC		0.00		8/9/2018		4,119,299		4,148,258
BRSCJS2W0	ACADEMY SPORTS & OUTDOORS INC		0.00		8/3/2018		1,333,300		1,337,673
BRSCJS5P2	CAPSUGEL HEALTHCARE LTD		0.00		8/1/2018		1,229,685		1,234,296
BRSCL40C6	ROYALTY PHARMA FINANCE TRUST		0.00		5/9/2018		966,179		955,310
BRSCL92G4	LEVEL 3 COMMS, INC.		0.00		9/1/2018		2,370,000		2,367,772
BRSCQ2G46	IMMUCOR, INC.		0.00		8/19/2018		1,975,075		1,982,482
BRSCUDB91	NEWPAGE CORP		0.00		3/8/2013		75,000		75,704
BRSCVQWF4	SEALED AIR CORPORATION		0.00		10/3/2018		1,000,222		1,007,044
BRSCWX1K1	AVIS BUDGET		0.00		9/22/2018		379,507		378,695
BRSCYASW4	BLACKBOARD INC		0.00		10/4/2018		815,900		789,383
BRSD4PTL5	KINETIC CONCEPTS INC.		0.00		5/4/2018		1,154,200		1,161,414
BRSD5SHT4	UPC FINANCING PARTNERSHIP		0.00		12/31/2017		1,805,000		1,788,087

Allied World Assurance Company Holdings, AG   Securities Listing as at June 30, 2012

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
BRSD65A11	SEQUA CORP		0.00		12/3/2014		1,825,825		1,824,310
BRSD6SNB5	WEB.COM GROUP INC		0.00		10/27/2017		518,058		513,955
BRSD7AYM7	POLYONE CORP		0.00		12/20/2017		273,625		273,283
BRSD853C3	BOYD GAMING CORPORATION		0.00		12/17/2015		1,033,500		1,036,301
BRSD8QGE9	NEUSTAR		0.00		11/8/2018		838,663		838,143
BRSD8RLT8	LEVEL 3 FINANCING INC		0.00		9/3/2018		1,655,000		1,653,444
BRSD8USY3	PHARMACEUTICAL PRODUCT DEV, IN		0.00		12/5/2018		2,238,750		2,247,145
BRSDB2898	NXP BV AND NXP FUNDING LLC		0.00		3/3/2017		629,688		629,688
BRSDFK6A3	NOVELIS INC/GA		0.00		3/10/2017		984,738		965,349
BRSDJ3UC6	LIN TELEVISION CORPORATION		0.00		12/21/2018		606,950		605,936
BRSDJJV71	DATATEL INC		0.00		7/19/2018		778,050		781,131
BRSDKAKX3	MICHAELS STORES, INC.		0.00		7/31/2016		598,051		597,052
BRSDKUDY5	SIX FLAGS THEME PARKS INC		0.00		12/20/2018		1,470,000		1,458,608
BRSDLMQR3	CAPITAL SAFETY GROUP LTD		0.00		1/19/2019		1,398,375		1,398,375
BRSDT3UA9	CCS CORP		0.00		11/14/2014		656,700		654,237
BRSDT4GL9	KABEL DEUTSCHLAND VERTRIEB UND		0.00		2/1/2019		1,200,000		1,190,628
BRSDTEYU7	CROWN CASTLE OPERATING CO		0.00		1/31/2019		345,382		339,770
BRSDTSN12	EASTMAN KODAK COMPANY		0.00		7/22/2013		547,070		545,188
BRSDU55R3	PRESTIGE BRANDS HOLDINGS INC		0.00		1/31/2019		943,106		946,350
BRSDWEH16	TRANSDIGM INC.		0.00		2/14/2017		258,064		258,064
BRSDWEX75	GRIFOLS INC		0.00		6/1/2017		1,130,514		1,118,203
BRSDWFYW6	VALEANT PHARMA		0.00		2/13/2019		1,835,400		1,808,438
BRSDWXL27	TRONOX INC		0.00		2/8/2018		581,429		570,114
BRSDYJ7G1	HAWAIIAN TELCOM COMMUNICATIONS		0.00		2/28/2017		1,010,000		1,003,688
BRSDYRD76	EMI MUSIC PUBLISHING LTD		0.00		2/15/2018		460,000		461,725
BRSDZ46N9	SCHAEFFLER AG		0.00		1/27/2017		620,000		619,033
BRSE0V753	AMC ENTERTAINMENT INC.		0.00		2/22/2018		621,875		618,380
BRSE1DX20	TRONOX INC		0.00		2/8/2018		158,571		155,486
BRSE456U2	RAILAMERICA, INC.		0.00		3/1/2019		1,062,338		1,061,679
BRSE4TDH1	ACCO BRANDS		0.00		5/1/2019		1,558,425		1,554,529
BRSE61FE5	REXNORD CORP		0.00		4/1/2018		1,097,250		1,102,275
BRSE63UD6	CAESARS ENTERTAINMENT INC		0.00		1/28/2018		195,000		173,367
BRSE76GJ1	WEIGHT WATCHERS INTL INC		0.00		3/15/2019		785,000		766,443
BRSE7U0Q9	COMMSCOPE INC.		0.00		1/14/2018		1,139,719		1,131,376
BRSE9A2P1	YANKEE CANDLE CO INC		0.00		4/2/2019		1,197,000		1,192,511
BRSE9A3G0	DJO FINANCE LLC		0.00		11/1/2016		271,158		267,576
BRSE9C0N4	PROTECTION ONE, INC.		0.00		3/21/2019		922,688		917,502
BRSEC7EU0	PINACLE FOOD FIN		0.00		10/17/2018		1,168,169		1,153,567
BRSECQ3T3	LAWSON SOFTWARE INC.		0.00		4/5/2018		2,755,000		2,764,890
BRSEE9HS6	ASCEND PERFORMANCE MATERIALS L		0.00		4/10/2018		1,596,000		1,549,445
BRSEEQB47	TOYS R US DELAWR		0.00		5/25/2018		395,000		358,956
BRSEF3LW4	GOODYEAR TIRE & RUBBER COMPANY		0.00		4/30/2019		1,470,000		1,438,763
BRSEF7SN8	SPIRIT AROSYSTMS		0.00		4/18/2019		468,825		468,970
BRSEFGMT1	CHARTER COM OPER		0.00		5/15/2019		463,132		459,575
BRSEFJZU8	HD SUPPLY		0.00		10/12/2017		3,475,000		3,494,564
BRSEGRYL0	WENDYS INTERNATIONAL INC.		0.00		5/15/2019		1,204,113		1,194,517
BRSEGUX00	99 CENTS ONLY STORES		0.00		1/11/2019		850,730		850,024
BRSEH00P6	TELESAT CANADA		0.00		3/28/2017		1,575,000		1,481,221
BRSEH0S92	CATALINA MARKETING CORPORATION		0.00		9/29/2017		1,177,807		1,107,975
BRSEHTXV4	FREEDOM GROUP INC		0.00		4/19/2019		665,000		665,000

Allied World Assurance Company Holdings, AG   Securities Listing as at June 30, 2012

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
BRSEK97M3	FORMULA ONE GROUP		0.00		4/28/2017		1,710,713		1,708,300
BRSEL02X2	BAUSCH & LOMB INCORPORATED		0.00		4/17/2019		2,795,000		2,776,833
BRSEL1U43	SCHRADER INTERNATIONAL INC		0.00		4/27/2018		86,957		86,740
BRSEN9666	WABASH NATIONAL CORPORATION		0.00		4/30/2019		1,132,163		1,115,180
BRSERR4P2	HARBOR FREIGHT TOOLS USA INC T		0.00		11/14/2017		710,000		706,450
BRSES26G4	SS&C TECHNOLOGIES INC		0.00		3/14/2019		1,427,344		1,420,807
BRSES4VS6	BURLINGTON COAT FACTORY WAREHO		0.00		2/23/2017		189,898		188,685
BRSESSFB8	CHESAPEAKE ENERGY CORP		0.00		12/2/2017		1,905,000		1,888,122
BRSEV0146	WENDYS INTERNATIONAL INC.		0.00		5/15/2019		960,887		953,228
BRSEVBUR9	GIBSON ENERGY ULC		0.00		6/30/2018		1,098,114		1,095,369
BRSEVD0Q0	SS&C TECHNOLOGIES INC		0.00		3/14/2019		147,656		146,980
BRSEVQ917	WOLVERINE HEALTHCARE ANALYTICS		0.00		5/25/2019		895,000		892,763
BRSEXE1J1	US FOODSERVICE		0.00		3/31/2017		837,215		799,541
BRSEZ4VS8	ZAYO GROUP LLC		0.00		3/31/2019		3,120,000		3,127,238
BRSEZESM3	VALEANT PHARMA		0.00		2/1/2019		700,000		689,941
BRSF04TV9	SAVERS INC		0.00		6/12/2019		615,000		614,619
BRSF21G05	WOLVERINE WORLD WIDE, INC.		0.00		7/5/2019		860,000		858,925
BRSF2MUR4	AWAS AVIATION CAPITAL LTD		0.00		6/21/2018		85,000		84,522
							996,407,381		1,019,042,841
Corporate Debt Securities - Utilities
037735CQ8	APPALACHIAN POWER COMPANY		3.40		5/24/2015		725,000		755,416
131347BP0	CALPINE CORPORATION		7.25		10/15/2017		315,000		338,625
202795HW3	COMMONWEALTH EDISON COMPANY		1.63		1/15/2014		1,600,000		1,618,600
264399EQ5	DUKE ENERGY CORP		6.30		2/1/2014		4,000,000		4,328,002
26875PAF8	EOG RESOURCES INC		2.95		6/1/2015		4,500,000		4,717,841
29269QAA5	ENERGY FUTURE INTERMEDIATE HOL		10.00		12/1/2020		2,650,000		2,881,875
29977HAC4	EVEREST ACQUISITION LLC/EVERES		6.88		5/1/2019		300,000		312,000
340711AQ3	FL GAS TSMN CO		7.90		5/15/2019		7,000,000		8,667,916
391164AD2	GREAT PLAINS ENERGY INCORPORAT		2.75		8/15/2013		3,000,000		3,041,453
461070AH7	INTERSTATE POWER & LIGHT CO		3.30		6/15/2015		1,000,000		1,057,470
74456QAW6	PUBLIC SERVICE ELECTRIC & GAS		2.70		5/1/2015		1,075,000		1,124,248
84755TAB3	SPECTRA ENERGY CAPITAL LLC		5.90		9/15/2013		1,350,000		1,416,457
976656CA4	WISCONSIN ELECTRIC POWER CO		6.00		4/1/2014		4,500,000		4,863,617
29268BAE1	ENEL FINANCE INTERNATIONAL SA		5.13		10/7/2019		1,750,000		1,644,885
69353UAB7	PPL WEM HOLDINGS PLC		3.90		5/1/2016		4,075,000		4,262,428
893526DH3	TRANSCANADA PIPELINES LIMITED		3.40		6/1/2015		1,250,000		1,329,163
15234QAJ7	ELETROBRAS		6.88		7/30/2019		5,000,000		5,833,233
50064YAB9	KOREA HYDRO		3.13		9/16/2015		3,100,000		3,167,456
89354FAE1	TRANSCAPITALINVEST LTD FOR OJS		8.70		8/7/2018		1,700,000		2,099,500
BRSAPKET8	GENON ENERGY		0.00		9/20/2017		65,000		64,269
BRSC5VFR5	THE AES CORPORATION		0.00		6/1/2018		1,478,128		1,476,517
BRSCAHX41	CALPINE CORPORATION		0.00		4/1/2018		997,481		989,441
BRSCJPNX1	DYNEGY POWER LLC		0.00		8/5/2016		490,295		508,156
BRSCJPNY9	DYNEGY MIDWEST GENERATION LLC		0.00		8/5/2016		1,638,618		1,674,798
							53,559,522		58,173,370
Asset Backed Securities - Credit Cards
161571CH5	CHAIT		5.12		10/15/2014		1,000,000		1,012,700
17305ECJ2	CCCIT		4.85		3/10/2017		2,000,000		2,218,103
17305ECX1	CCCIT		5.10		11/20/2017		3,000,000		3,424,872
17305EDE2	CITIBANK CREDIT CARD ISSUANCE		5.30		3/15/2018		2,000,000		2,307,439

Allied World Assurance Company Holdings, AG   Securities Listing as at June 30, 2012

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
17305EDT9	CCCIT		6.15		6/15/2039		1,000,000		1,356,714
17305EDY8	CCCIT		5.65		9/20/2019		3,000,000		3,623,614
17305EEE1	CITIBANK CREDIT CARD ISSUANCE		5.35		2/7/2020		436,000		523,587
254683AC9	DCENT_07-A1		5.65		3/16/2020		3,500,000		4,235,000
70659PAD3	PENARTH MASTER ISSUER PENAR_12		0.81		3/18/2014		6,000,000		6,004,111
							21,936,000		24,706,141
Asset Backed Securities - Auto
02005ACC0	AMOT_10-3		1.44		2/15/2017		4,300,000		4,325,723
02005TAD9	ALLYA _11-1		2.23		3/15/2016		6,000,000		6,159,625
34529GAF2	FORDO_09-D		2.17		10/15/2013		3,355,950		3,362,807
34529LAE4	FORD CREDIT AUTO OWNER TRUST F		2.15		6/15/2015		750,000		762,629
34529RAD3	FORDO_11-B		1.35		12/15/2016		372,000		377,580
34529UAC8	FORD CREDIT AUTO OWNER TRUST F		0.84		8/15/2016		980,000		981,985
43811AAC0	HAROT		0.88		9/21/2015		5,250,000		5,266,584
43813TAD5	HAROT_11-1		1.80		4/17/2017		1,250,000		1,272,964
44924CAA2	HCAF_10-8A		1.24		9/20/2016		2,275,000		2,237,986
65475QAD3	NISSAN AUTO RECEIVABLES OWNER		1.24		1/16/2018		1,600,000		1,620,475
Z9195VUA5	CAR_12-F1F		1.38		9/25/2021		6,000,000		7,614,300
							32,132,950		33,982,660
Asset Backed Securities - Student Loans
00432CAZ4	AGSL_03-1		0.77		12/26/2035		4,100,000		3,313,583
00432CBB6	AGSL_03-1		0.54		12/26/2035		3,600,000		2,909,059
00432CBP5	AGSL_03-1		0.22		12/27/2032		5,350,000		4,323,533
041150DJ9	ASLA_10-1		1.37		11/25/2043		6,186,888		6,118,832
10620NAH1	BRHEA_05-3A		0.58		9/25/2023		848,375		844,481
10620NCG1	BRHEA_05-2		1.27		2/25/2030		12,800,000		12,774,144
12556PAC1	CITEL_05-1		0.59		3/15/2026		6,200,000		6,030,368
194262CD1	COLLE_04-1		0.63		4/25/2021		11,907,759		11,741,051
194266AB8	COLLE_05-2		0.58		10/15/2021		230,467		230,101
19458LBA7	COELT_05-A		0.55		12/28/2021		261,466		259,971
26845BAA7	EFSV2_ 2012-1		1.12		7/26/2027		5,700,000		5,699,772
28140UAC9	EFCT_03-3		0.74		3/16/2020		197,941		197,677
28140VAB9	EFCT_04-1		0.63		12/15/2022		4,336,393		4,302,959
36156HAV0	GCOE_06-1		0.60		5/25/2025		6,978,537		6,649,150
36156HAY4	GCOE_06-1		0.70		5/25/2036		2,200,000		1,810,412
429827AB4	HEF_10-401		1.65		1/1/2044		2,100,000		1,792,157
429827AE8	HIGHER EDUCATION FUNDING HEF_0		3.42		1/1/2044		2,100,000		1,792,157
429827AF5	HEF_10-401		1.74		1/1/2044		2,100,000		1,792,157
429827AJ7	HIGHER EDUCATION FUNDING HEF_0		1.71		1/1/2044		2,100,000		1,792,157
429827AK4	HIGHER EDUCATION FUNDING HEF_0		1.60		1/1/2044		2,300,000		1,962,838
429827AN8	HEF_04-1		1.57		1/1/2044		2,100,000		1,792,157
429827AQ1	HEF_04-1		3.44		1/1/2044		2,950,000		2,544,086
452281JB5	ILLINOIS STUDENT ASSISTANCE CO		0.95		4/25/2017		2,595,481		2,598,336
57563NAA6	MEFA		1.42		4/25/2038		3,461,103		3,468,717
66704JAZ1	NORTHSTAR EDUCATION FINANCE IN		0.59		4/28/2016		1,359,995		1,359,587
698475AM2	PPHEA_10-2		1.60		10/1/2035		6,694,144		6,793,954
71722TAF1	PHEAA_04-1		1.73		4/25/2044		2,000,000		1,805,000
71722TAG9	PHEAA_04-1		1.74		4/25/2044		6,000,000		5,415,000
78442GHY5	SLMA		1.68		12/15/2016		800,000		799,750
78442GHZ2	SLMA		1.74		12/15/2016		4,800,000		4,798,500

Allied World Assurance Company Holdings, AG   Securities Listing as at June 30, 2012

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
78442GJA5	SLM STUDENT LOAN TR 2003-10A		1.70		12/15/2016		1,350,000		1,349,578
78442GJC1	SLMA		1.74		12/15/2016		100,000		99,969
78442GJD9	SLM STUDENT LOAN TR 2003-10A		1.67		12/15/2016		5,500,000		5,498,281
83149TAA2	SLMA_09-D		3.50		8/17/2043		9,177,126		8,977,596
83715AAK5	SOUTH CAROLINA STUDENT LN CORP		0.92		1/25/2021		5,016,648		4,988,555
86386MAY0	STUDENT LOAN CON		1.47		10/25/2027		42,245,066		42,291,958
B0A0BSZC0	SLMA_03-5		0.93		6/17/2024		1,462,519		1,640,806
U8280TAR8	SLM STUDENT LOAN TR 03-10		1.21		12/15/2027		2,670,000		2,846,225
							181,879,907		175,404,613
Asset Backed Securities - Other
00104UAC2	AEPTC TEXAS CENTRAL TRANSITION		2.84		3/1/2026		700,000		720,488
15200DAD9	CENTERPOINT ENERGY TRANSITION		5.17		8/1/2019		1,000,000		1,144,499
15200NAA3	CNP		1.83		2/15/2016		1,507,180		1,532,025
15200NAB1	CNP		3.46		8/15/2019		2,400,000		2,634,489
15200WAC9	CENTERPOINT ENERGY TRANSITION		3.03		10/15/2025		1,100,000		1,149,659
29365KAB9	ETI		3.65		8/1/2019		1,000,000		1,099,614
34528QBK9	FORDF		0.71		1/15/2016		6,050,000		6,071,693
Z914HKQ87	GFUND_11-1		2.46		4/24/2047		4,800,000		7,477,366
							18,557,180		21,829,833
Asset Backed Securities - CLO
00083VAA9	ACASC_07-1		0.70		4/20/2021		6,750,000		6,287,369
04010HAB8	ARES CLO FUNDS ARES		0.71		9/18/2017		1,626,864		1,605,705
04010HAC6	ARES_05-10A		0.71		9/18/2017		4,204,659		4,149,973
04011XAB2	ARES		0.72		2/24/2018		8,787,850		8,653,747
04011XAC0	ARES		0.72		2/24/2018		9,387,021		9,199,281
04012VAA7	ARES		1.10		11/25/2020		6,900,000		6,697,840
04963VAC2	ATR_4C-DO		0.72		6/8/2019		4,540,169		4,441,039
05615MAA5	BABSN_05-3A		0.72		11/10/2019		2,901,373		2,751,953
09202XAA2	BLACK DIAMOND CLO LTD BLACK_06		0.72		4/29/2019		3,950,000		3,619,733
14308VAA9	CARLYLE HIGH YIELD PARTNERS		0.84		8/11/2016		5,644,392		5,584,556
158715AA0	CHAMPLAIN CLO LTD CHAM_04-1A		0.85		6/15/2016		2,361,267		2,334,672
16208NAA3	CHAT		0.72		8/3/2019		15,201,310		14,799,995
33736EAA9	FIRST CLO LTD		0.82		7/27/2016		7,874		7,871
33736TAB4	FRST_04-2A1		0.78		12/14/2016		1,030,064		1,023,560
363206AF0	GALE		0.71		4/19/2021		10,000,000		9,425,020
42822XAA3	HICDO_07-1RA		0.87		11/12/2019		11,496,786		10,863,428
482474AA1	KKR FINANCIAL CLO LTD KKR_05-1		0.74		4/26/2017		563,851		549,754
48248CAA2	KKR FINANCIAL CLO LTD KKR_07-1		0.82		5/15/2021		22,294,108		20,956,462
51506JAA8	LANDM_05-1A		0.77		6/1/2017		2,900,813		2,852,950
530361AE4	LIBERTY CLO		0.72		11/1/2017		2,824,008		2,633,387
51506DAA1	LANDM_04-1A		0.82		12/15/2016		6,680,215		6,601,415
730018AA6	PLMR_10-1A		1.97		2/16/2019		1,665,109		1,661,552
87155MAA9	SYMPH_5		1.22		1/15/2024		10,000,000		9,437,170
97314VAA6	WIND RIVER CLO LTD WINDR_04-1A		0.80		12/19/2016		1,677,360		1,631,233
BRS6DUE27	STANFIELD VEYRON		0.69		7/15/2018		20,521,885		20,148,222
BRSD49XV4	WHITN_04-1X		0.76		3/1/2017		2,609,526		2,593,296
G6843PAA3	PCDO_04-4X		0.82		2/15/2017		993,059		984,134
							167,519,564		161,495,314
State and Municipal
4521518T3	ILLINOIS ST		3.32		1/1/2013		10,000,000		10,128,000

Allied World Assurance Company Holdings, AG   Securities Listing as at June 30, 2012

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
4521518V8	ILLINOIS ST		4.42		1/1/2015		10,998,000		11,561,867
463655GW4	IRVINE RANCH CALIF WTR DIST JT		2.61		3/15/2014		3,500,000		3,621,730
64966B3L5	NEW YORK N Y		1.17		1/15/2016		5,250,000		5,259,240
64971M5E8	NEW YORK NY CITY TRANSITIONAL		4.08		11/1/2020		3,000,000		3,296,670
98458PAB1	YALE UNIVERSITY		2.90		10/15/2014		1,400,000		1,471,023
83714RBA0	SOUTH CAROLINA STUDENT LN		0.56		12/2/2019		4,472,109		4,402,255
							38,620,109		39,740,785
Total Fixed income Securities							6,906,599,133		6,826,323,005
Equities
13643E105	CANADIAN OIL SAND Ltd						360,000		6,969,852
G16962204	BUNGE LTD						31,600		3,021,750
00208D408	ARC RESOURCES LTD						290,300		6,508,526
018802108	ALLIANT ENERGY CORP						230,400		10,499,328
024835100	AMER CMPS COMM						213,800		9,616,724
03836W103	PHILADELPHIA SUBURBAN CORPORAT						328,200		8,191,872
09247X101	BLACKROCK INC.						45,000		7,641,900
13466Y105	CAMPUS CREST COMMUNITIES INC						459,329		4,772,428
15189T107	CENTERPOINT ENERGY INC.						538,800		11,136,996
156700106	CENTURYTEL INC						258,350		10,202,242
16941M109	CHINA MOBILE HONG KONG LIMITED						185,000		10,113,950
17133Q502	CHUNGHWA TELECOM CO. LTD.						271,700		8,539,531
22576C101	CRESCENT POINT ENERGY CORP						166,100		6,176,096
253868103	DIGITAL REALTY						75,350		5,656,525
29274F104	ENERSIS S A ADS						140,000		2,618,000
29476L107	EQUITY RESIDENTIAL PROP TR						82,100		5,119,756
351858105	FRANCO NEVADA CORP						207,000		9,348,453
391164100	GREAT PLAINS ENERGY INCORPORAT						347,200		7,433,552
40414L109	HEALTH CARE PROPERTY INVESTORS						228,500		10,088,275
438516106	HONEYWELL INTERNATIONAL INC						48,300		2,697,072
478160104	JOHNSON & JOHNSON						124,400		8,404,464
49456B101	KINDER MORGAN HOLDCO LLC						244,000		7,861,680
535678106	LINEAR TECHNOLOGY CORP						325,000		10,182,250
589433101	MEREDITH CORP						278,000		8,879,320
595017104	MICROCHIP TECHNOLOGY INC						225,200		7,449,616
646025106	NEW JERSEY RESOURCES						110,100		4,801,461
649445103	NEW YORK COMMUNITY BANCORP INC						650,000		8,144,500
651639106	NEWMONT MINING CORP HOLDING CO						109,000		5,287,590
65473P105	NISOURCE INC						363,200		8,989,200
664397106	NORTHEAST UTILITIES						177,662		6,895,062
66987V109	NOVARTIS AG						180,400		10,084,360
67073Y106	NV ENERGY						304,000		5,344,320
69331C108	PG&E CORPORATION						191,000		8,646,570
69351T106	PP&L CO						233,000		6,479,730
718172109	PHILIP MORRIS INTERNATIONAL IN						96,900		8,455,494
718252604	PHILIPPINE LONG DISTANCE TEL C						136,300		8,668,680
729251108	PLUM CREEK TIMBER COMPANY INC.						211,000		8,376,700
74460D109	PUBLIC STORAGE INC						20,000		2,888,200
74965L101	RLJ LODGING TRUST						335,197		6,077,122

Allied World Assurance Company Holdings, AG   Securities Listing as at June 30, 2012

Cusip	Security Description	Coupon	Maturity	Par		Market Value $
754907103	RAYONIER INC.				157,725		7,081,853
771195104	ROCHE HOLDING AG				175,000		7,563,500
780287108	ROYAL GOLD INC				143,600		11,258,240
80105N105	SANOFI AVENTIS				282,000		10,653,960
816851109	SEMPRA ENERGY				122,000		8,403,360
847560109	SPECTRA ENERGY CORP				143,000		4,155,580
85771P102	STATOIL ASA				215,000		5,129,900
904784709	UNILEVER N.V.				324,500		10,822,075
92276F100	VENTAS, INC.				197,665		12,476,626
929042109	VORNADO REALTY TRUST				49,400		4,148,612
962166104	WEYERHAEUSER COMPANY				422,200		9,440,392
976657106	WISCONSIN ENERGY CORPORATION				250,700		9,920,199
98389B100	XCEL ENERGY INC				203,200		5,772,912
S62435862	SINGAPORE AIRPORT TERMINAL SER				3,263,700		6,904,575
S64555303	ICL ISRAEL CHEMICALS LTD				680,000		7,309,676
S65638751	ASCENDAS REAL ESTATE INVESTMEN				3,631,000		6,162,496
SB02PY225	SINGAPORE TELECOM				3,260,000		8,492,264
SB04PZ723	SUNTEC REAL ESTATE INVESTMENT				7,123,000		7,590,819
SB07NL190	JAPAN LOGISTICS FD				302		2,675,949
SB0D6P437	MAPLETREE LG TR				7,000,000		5,415,219
SB23WXW97	PARKWAY HOLDINGS LIMITED				1,785,000		2,649,037
SB29VF024	FRANCO NEVADA CORP				17,100		772,920
SB61JC671	TREASURY WINE ESTATES LTD.				1,916,366		8,545,014
SB67C8W83	CRESCENT POINT ENERGY CORP				900		33,548
SBOTLGM70	GZI REAL ESTATE INVESTMENT TRU				5,333,000		2,557,579
Total Equity Securities					45,517,746		454,205,452