8-K

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 8-K

CURRENT REPORT
Pursuant to Section 13 OR 15(d) of The Securities Exchange Act of 1934

Date of Report (Date of earliest event reported): November 5, 2009

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, LTD

(Exact name of registrant as specified in its charter)

Bermuda	001-32938	98-0481737
(State or other jurisdiction of incorporation)	(Commission File Number)	(IRS Employer Identification No.)

27 Richmond Road Pembroke, Bermuda	HM 08
(Address of principal executive offices)	(Zip Code)

Registrant’s telephone number, including area code: (441) 278-5400

(Former name or former address, if changed since last report.)

Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions:

o Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425)

o Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12)

o Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b))

o Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c))

Item 2.02. Results of Operations and Financial Condition.

On November 5, 2009, Allied World Assurance Company Holdings, Ltd issued a press release reporting its third quarter results for 2009 and the availability of its third quarter 2009 financial supplement and investment supplement. The press release, financial supplement and investment supplement are furnished herewith as Exhibits 99.1, 99.2 and 99.3, respectively. The information hereunder is not deemed to be “filed” for purposes of Section 18 of the Securities Exchange Act of 1934, as amended (the “Exchange Act”), is not otherwise subject to the liabilities of that section and is not incorporated by reference into any filing under the Securities Act of 1933, as amended, or the Exchange Act, except as shall be expressly set forth by specific reference in such a filing.

Item 9.01. Financial Statements and Exhibits.

(d) Exhibits

Exhibit
Number		Description
	99.1	Press release, dated November 5, 2009, reporting third quarter results for 2009.
	99.2	Third Quarter 2009 Financial Supplement.
	99.3	Third Quarter 2009 Investment Supplement.

-2-

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized.

	ALLIED WORLD ASSURANCE COMPANY HOLDINGS, LTD
Dated: November 5, 2009	By:	/s/ Joan H. Dillard
		Name:	Joan H. Dillard
		Title:	Executive Vice President and Chief Financial Officer

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EXHIBIT INDEX

Exhibit
Number		Description
	99.1	Press release, dated November 5, 2009, reporting third quarter results for 2009.
	99.2	Third Quarter 2009 Financial Supplement.
	99.3	Third Quarter 2009 Investment Supplement.

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EX-99.1

Exhibit 99.1

FOR IMMEDIATE RELEASE

ALLIED WORLD REPORTS RECORD OPERATING RESULTS IN THIRD QUARTER 2009;
27.4% INCREASE IN TOTAL BOOK VALUE YEAR TO DATE; 11% DIVIDEND INCREASE ANNOUNCED

PEMBROKE, BERMUDA, November 5, 2009 — Allied World Assurance Company Holdings, Ltd (NYSE: AWH) today reported net income of $200.6 million, or $3.83 per diluted share, for the third quarter of 2009 compared to a net loss of $46.4 million, or $0.95 per diluted share, for the third quarter of 2008. Net income for the nine months ended September 30, 2009 was $445.6 million, or $8.62 per diluted share, compared to net income of $163.8 million, or $3.22 diluted share, for the first nine months of 2008.

The company reported operating income of $155.4 million, or $2.97 per diluted share, for the third quarter of 2009 compared to operating income of $102.8 million, or $2.03 per diluted share, for the third quarter of 2008. Operating income for the nine months ended September 30, 2009 was $405.8 million, or $7.85 per diluted share, compared to operating income of $313.9 million, or $6.17 per diluted share, for the first nine months of 2008.

President and Chief Executive Officer Scott Carmilani commented, “We are very excited to report record operating results in the third quarter 2009 as we continue to effectively manage through the sluggish market environment. The company’s net operating income was $155 million, which is the best quarterly result in our company’s history. This equates to a very impressive 22.2% annualized operating return on shareholders’ equity for the quarter. Given these continued excellent results, we are also announcing that our Board has increased the quarterly dividend by 11%, to $0.20 per share, beginning with our fourth quarter dividend.”

Mr. Carmilani continued, “As we expand our footprint in the specialty insurance market, our sustained excellent results reflect favorably on the strategic decisions we have made in recent years in both our underwriting operations and with our investment portfolio. The results of these decisions have ultimately been reflected through growth in our shareholders’ equity, which is now almost $3.1 billion, up over 27% from the beginning of the year. ”

Underwriting Results

Gross premiums written were $401.8 million in the third quarter of 2009, a 38.1% increase compared to $291.0 million in the third quarter of 2008. For the nine months ended September 30, 2009, gross premiums written totaled $1,374.2 million, a 21.1% increase compared to $1,134.6 million in the first nine months of 2008. Net premiums written were $321.0 million in the third quarter of 2009, a 37.2% increase compared to $233.9 million in the third quarter of 2008. For the nine months ended September 30, 2009, net premiums written totaled $1,087.4 million, a 23.5% increase compared to $880.7 million in the first nine months of 2008. These increases were primarily due to the inclusion of the Darwin Professional Underwriters, Inc. (“Darwin”) business and increased direct insurance and assumed reinsurance writings by our other U.S. offices.

Net premiums earned in the third quarter of 2009 were $328.8 million, a 20.9% increase compared to $272.0 million in the third quarter of 2008. For the nine months ended September 30, 2009, net premiums earned totaled $986.4 million, a 21.2% increase from net premiums earned of $813.9 million in the first nine months of 2008. These increases were primarily due to the expansion of our U.S. based insurance operations.

The combined ratio was 70.4% in the third quarter of 2009 compared to 90.2% in the third quarter of 2008. The loss and loss expense ratio was 41.5% in the third quarter of 2009 compared to 64.7% in the third quarter of 2008. During the third quarter of 2009, the company recorded net favorable reserve development on prior loss years of $73.5 million, a benefit of 22.4 percentage points to the company’s loss and loss expense ratio for the quarter. This compares to the third quarter of 2008, where the company recorded net favorable reserve development on prior loss years of $96.9 million, a benefit of 35.6 percentage points to the company’s loss and loss expense ratio for that quarter. Absent prior year reserve adjustments, the loss and loss expense ratio related to the third quarter of 2009 was 63.9% compared to 100.3% for the third quarter of 2008. During the three months ended September 30, 2008, the company experienced higher loss activity, which included losses incurred from Hurricanes Gustav and Ike.

For the nine months ended September 30, 2009, the combined ratio was 76.3% compared to 87.1% in the first nine months of 2008. For the first nine months of 2009, the company recorded net favorable reserve development on prior loss years of $170.3 million, a benefit of 17.3 percentage points to the company’s loss and loss expense ratio. For the first nine months of 2008, the company recorded net favorable reserve development on prior loss years of $189.8 million, a benefit of 23.3 percentage points to the company’s loss and loss expense ratio.

The company’s expense ratio was 28.9% for the third quarter of 2009 compared to 25.5% for the third quarter of 2008. The expense ratio was 29.4% for the nine months ended September 30, 2009 compared to 26.0% in the first nine months of 2008. As part of our ongoing strategic initiatives, the company has significantly expanded its existing U.S. operations. Our overall staff count increased to 628 as of September 30, 2009 from 351 as of September 30, 2008, primarily driven by the additional staff of Darwin. As a result of the increased staff count, salary and employee welfare costs increased by $15.6 million and $44.0 million during the three and nine months ended September 30, 2009, respectively, compared to the same periods in 2008.

Investment Results

Net investment income in the third quarter of 2009 was $73.0 million, a decrease of 5.0% from the $76.9 million of net investment income in the third quarter of 2008.  The decrease was primarily due to lower fixed income amortization on securities for which we had previously recognized other-than-temporary impairment (“OTTI”) adjustments. The cumulative adjustment made in the second quarter 2009 effectively eliminated OTTI previously taken by increasing the book value of our fixed maturity investments. For the nine months ended September 30, 2009, net investment income was $227.4 million, an increase of 0.5% over the $226.2 million of net investment income in the first nine months of 2008.

The company recorded net realized investment gains of $46.9 million and $88.6 million for the three and nine months ended September 30, 2009, respectively. As of September 30, 2009 and December 31, 2008, net accumulated unrealized gains were $185.0 million and $105.6 million, respectively. The change in net unrealized investment gains from December 31, 2008 to September 30, 2009 was due to unrealized gains in our fixed-maturity portfolio of $216.3 million primarily resulting from the narrowing of credit spreads across all fixed income classes partially offset by the cumulative effect adjustment of $136.8 million related to the company adopting accounting changes for investments in the second quarter of 2009.

Shareholders’ Equity

As of September 30, 2009, our shareholders’ equity was $3.1 billion, a 12.3% increase in the current quarter and a 27.4% increase compared to shareholders’ equity of $2.4 billion as of December 31, 2008. The increase was primarily the result of net income earned and net unrealized gains on investments recognized during the three and nine months ended September 30, 2009.

The company’s annualized net income return on average shareholders’ equity for the three and nine months ended September 30, 2009 was 28.7% and 22.8%, respectively. The company’s annualized operating return on average shareholders’ equity for the three and nine months ended September 30, 2009 was 22.2% and 20.8%, respectively.

As of September 30, 2009, diluted book value per share was $57.20, an increase of 24.2% compared to $46.05 as of December 31, 2008.

Increased Quarterly Dividend

Allied World announced today that its Board of Directors has declared an increase in the quarterly dividend to $0.20 per common share, an 11% increase. The dividend will be payable on December 10, 2009 to shareholders of record on November 24, 2009.

Investment Supplement

Allied World will be providing additional information on its investment portfolio as of September 30, 2009. This information will be available at the “Investor Relations” section of the company’s website at www.awac.com.

Financial Supplement

A financial supplement relating to the third quarter of 2009 will be available at the “Investor Relations” section of the company’s website at www.awac.com.

Conference Call

Allied World will host a conference call on Friday, November 6, 2009 at 8:00 a.m. (Eastern Time) to discuss the third quarter 2009 financial results.  The public may access a live webcast of the conference call at the “Investor Relations” section of the company’s website at www.awac.com.  In addition, the conference call can be accessed by dialing (800) 510-9836 (U.S. and Canada callers) or (617) 614-3670 (international callers) and entering the passcode 92163598 approximately ten minutes prior to the call.

Following the conclusion of the presentation, a replay of the call will be available through Friday, November 20, 2009 by dialing (888) 286-8010 (U.S. and Canada callers) or (617) 801-6888 (international callers) and entering the passcode 71145005. In addition, the webcast will remain available online through Friday, November 20, 2009 at www.awac.com.

Non-GAAP Financial Measures

In presenting the company’s results, management has included and discussed in this press release certain non generally accepted accounting principles (“non-GAAP”) financial measures within the meaning of Regulation G as promulgated by the U.S. Securities and Exchange Commission. Management believes that these non-GAAP measures, which may be defined differently by other companies, better explain the company’s results of operations in a manner that allows for a more complete understanding of the underlying trends in the company’s business. However, these measures should not be viewed as a substitute for those determined in accordance with generally accepted accounting principles (“GAAP”).

“Operating income” is an internal performance measure used by the company in the management of its operations and represents after-tax operational results excluding, as applicable, net realized investment gains or losses, net impairment charges recognized in earnings and foreign exchange gain or loss. The company excludes net realized investment gains or losses, net impairment charges recognized in earnings and net foreign exchange gain or loss from its calculation of operating income because the amount of these gains or losses is heavily influenced by, and fluctuates in part according to, the availability of market opportunities. The company believes these amounts are largely independent of its business and underwriting process and including them may distort the analysis of trends in its insurance and reinsurance operations. In addition to presenting net income determined in accordance with GAAP, the company believes that showing operating income enables investors, analysts, rating agencies and other users of its financial information to more easily analyze the company’s results of operations in a manner similar to how management analyzes the company’s underlying business performance. Operating income should not be viewed as a substitute for GAAP net income.

The company has included “diluted book value per share” because it takes into account the effect of dilutive securities; therefore, the company believes it is a better measure of calculating shareholder returns than book value per share.

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

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

Reconciliations of these financial measures to their most directly comparable GAAP measures are included in the attached tables.

About Allied World Assurance Company

Allied World Assurance Company Holdings, Ltd, through its subsidiaries, is a global provider of innovative property, casualty and specialty insurance and reinsurance solutions, offering superior client service through offices in Bermuda, the United States, Europe and Hong Kong. Our insurance and reinsurance subsidiaries are rated A (Excellent) by A.M. Best Company. For further information on Allied World, please visit our website at www.awac.com.

Cautionary Statement Regarding Forward-Looking Statements

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

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, LTD
UNAUDITED CONDENSED CONSOLIDATED STATEMENTS OF OPERATIONS
(Expressed in thousands of United States dollars, except share and per share amounts)

	Quarter Ended						Nine Months Ended
	September 30,						September 30,
	2009			2008			2009			2008
Revenues:
Gross premiums written	$	401,837		$	290,981		$	1,374,216		$	1,134,638
Premiums ceded		(80,881	)		(57,078	)		(286,785	)		(253,913	)
Net premiums written		320,956			233,903			1,087,431			880,725
Change in unearned premiums		7,815			38,070			(101,020	)		(66,804	)
Net premiums earned		328,771			271,973			986,411			813,921
Net investment income		73,032			76,916			227,423			226,192
Net realized investment gain/(loss)		46,861			(76,849	)		88,556			(40,500	)
Net impairment charges recognized in earnings		(1,953	)		(75,027	)		(49,390	)		(112,304	)
Other income		298			—			1,133			—
Total revenue		447,009			197,013			1,254,133			887,309
Expenses:
Net losses and loss expenses		136,441			176,010			462,657			497,591
Acquisition costs		36,630			28,615			110,721			81,720
General and administrative expenses		58,586			40,794			179,575			130,445
Interest expense		9,523			9,515			29,492			28,538
Foreign exchange gain		(273	)		(2,728	)		(660	)		(2,651	)
Total expenses		240,907			252,206			781,785			735,643
Income before income taxes		206,102			(55,193	)		472,348			151,666
Income tax expense/(recovery)		5,548			(8,826	)		26,716			(12,117	)
NET INCOME (LOSS)	$	200,554		$	(46,367	)	$	445,632		$	163,783
PER SHARE DATA:
Basic earnings (loss) per share	$	4.05		$	(0.95	)	$	9.01		$	3.37
Diluted earnings (loss) per share	$	3.83		$	(0.95	)	$	8.62		$	3.22
Weighted average common shares outstanding		49,574,266			49,007,389			49,449,809			48,547,839
Weighted average common shares and common share equivalents outstanding		52,345,913			49,007,389			51,676,006			50,869,098
Dividends declared per share	$	0.18		$	0.18		$	0.54		$	0.54

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, LTD
UNAUDITED CONDENSED CONSOLIDATED BALANCE SHEETS
(Expressed in thousands of United States dollars, except share and per share amounts)

	As of		As of
	September 30,		December 31,
ASSETS:	2009		2008
Fixed maturity investments available for sale, at fair value (amortized cost: 2009: $5,464,105; 2008: $5,872,031)	$	5,673,793	$	6,032,029
Fixed maturity investments trading, at fair value		1,372,287		—
Other invested assets trading, at fair value		162,125		69,902
Other invested assets available for sale, at fair value (cost: 2009: nil; 2008: $89,229)		—		55,199
Total investments		7,208,205		6,157,130
Cash and cash equivalents		345,954		706,267
Securities lending collateral		—		171,026
Insurance balances receivable		407,617		347,941
Prepaid reinsurance		198,136		192,582
Reinsurance recoverable		913,964		888,314
Accrued investment income		56,319		50,671
Deferred acquisition costs		102,976		86,181
Goodwill		268,532		268,532
Intangible assets		68,215		71,410
Net balances on purchases and sales of investments		—		12,371
Net deferred tax assets		20,984		22,452
Other assets		50,355		47,603
Total assets	$	9,641,257	$	9,022,480
LIABILITIES:
Reserve for losses and loss expenses	$	4,749,602	$	4,576,828
Unearned premiums		1,036,933		930,358
Reinsurance balances payable		99,315		95,129
Securities lending payable		—		177,010
Net balances on purchases and sales of investments		110,040		—
Syndicated loan		—		243,750
Senior notes		498,888		498,796
Accounts payable and accrued liabilities		67,585		83,747
Total liabilities	$	6,562,363	$	6,605,618
SHAREHOLDERS’ EQUITY:
Common shares, par value $0.03 per share:
issued and outstanding 2009: 49,602,354; 2008:
49,036,159 shares	$	1,488	$	1,471
Additional paid-in capital		1,341,661		1,314,785
Retained earnings		1,550,702		994,974
Accumulated other comprehensive income, net of tax		185,043		105,632
Total shareholders’ equity	$	3,078,894	$	2,416,862
Total liabilities and shareholders’ equity	$	9,641,257	$	9,022,480

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, LTD
UNAUDITED CONSOLIDATED SEGMENT DATA
(Expressed in thousands of United States dollars, except for ratio information)

	U.S.			International
Quarter Ended September 30, 2009	Insurance			Insurance			Reinsurance			Total
Gross premiums written	$	169,629		$	107,768		$	124,440		$	401,837
Net premiums written		126,600			69,939			124,417			320,956
Net premiums earned		111,558			97,705			119,508			328,771
Other income		298			—			—			298
Net losses and loss expenses		(42,071	)		(28,301	)		(66,069	)		(136,441	)
Acquisition costs		(14,354	)		(516	)		(21,760	)		(36,630	)
General and administrative expenses		(26,994	)		(19,866	)		(11,726	)		(58,586	)
Underwriting income		28,437			49,022			19,953			97,412
Net investment income											73,032
Net realized investment gains											46,861
Net impairment charges recognized in earnings											(1,953	)
Interest expense											(9,523	)
Foreign exchange gain											273
Income before income taxes										$	206,102
GAAP Ratios:
Loss and loss expense ratio		37.7	%		29.0	%		55.3	%		41.5	%
Acquisition cost ratio		12.9	%		0.5	%		18.2	%		11.1	%
General and administrative expense ratio		24.2	%		20.3	%		9.8	%		17.8	%
Combined ratio		74.8	%		49.8	%		83.3	%		70.4	%

	U.S.			International
Quarter Ended September 30, 2008	Insurance			Insurance			Reinsurance			Total
Gross premiums written	$	64,828		$	132,612		$	93,541		$	290,981
Net premiums written		45,674			95,943			92,286			233,903
Net premiums earned		32,034			116,377			123,562			271,973
Net losses and loss expenses		(29,728	)		(88,328	)		(57,954	)		(176,010	)
Acquisition costs		(2,852	)		(1,794	)		(23,969	)		(28,615	)
General and administrative expenses		(10,609	)		(18,483	)		(11,702	)		(40,794	)
Underwriting (loss) income		(11,155	)		7,772			29,937			26,554
Net investment income											76,916
Net realized investment losses											(76,849	)
Net impairment charges recognized in earnings											(75,027	)
Interest expense											(9,515	)
Foreign exchange gain											2,728
Loss before income taxes										$	(55,193	)
GAAP Ratios:
Loss and loss expense ratio		92.8	%		75.9	%		46.9	%		64.7	%
Acquisition cost ratio		8.9	%		1.5	%		19.4	%		10.5	%
General and administrative expense ratio		33.1	%		15.9	%		9.5	%		15.0	%
Combined ratio		134.8	%		93.3	%		75.8	%		90.2	%

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, LTD
UNAUDITED CONSOLIDATED SEGMENT DATA
(Expressed in thousands of United States dollars, except for ratio information)

	U.S.			International
Nine Months Ended September 30, 2009	Insurance			Insurance			Reinsurance			Total
Gross premiums written	$	505,710		$	425,672		$	442,834		$	1,374,216
Net premiums written		369,912			275,066			442,453			1,087,431
Net premiums earned		327,850			320,706			337,855			986,411
Other income		1,133			—			—			1,133
Net losses and loss expenses		(143,090	)		(141,595	)		(177,972	)		(462,657	)
Acquisition costs		(42,308	)		(3,243	)		(65,170	)		(110,721	)
General and administrative expenses		(86,518	)		(58,599	)		(34,458	)		(179,575	)
Underwriting income		57,067			117,269			60,255			234,591
Net investment income											227,423
Net realized investment gains											88,556
Net impairment charges recognized in earnings											(49,390	)
Interest expense											(29,492	)
Foreign exchange gain											660
Income before income taxes										$	472,348
GAAP Ratios:
Loss and loss expense ratio		43.6	%		44.2	%		52.7	%		46.9	%
Acquisition cost ratio		12.9	%		1.0	%		19.3	%		11.2	%
General and administrative expense ratio		26.4	%		18.3	%		10.2	%		18.2	%
Combined ratio		82.9	%		63.5	%		82.2	%		76.3	%

	U.S.			International
Nine Months Ended September 30, 2008	Insurance			Insurance			Reinsurance			Total
Gross premiums written	$	166,314		$	548,433		$	419,891		$	1,134,638
Net premiums written		104,437			358,036			418,252			880,725
Net premiums earned		93,758			357,116			363,047			813,921
Net losses and loss expenses		(68,791	)		(241,484	)		(187,316	)		(497,591	)
Acquisition costs		(8,469	)		(2,249	)		(71,002	)		(81,720	)
General and administrative expenses		(39,452	)		(59,091	)		(31,902	)		(130,445	)
Underwriting (loss) income		(22,954	)		54,292			72,827			104,165
Net investment income											226,192
Net realized investment losses											(40,500	)
Net impairment charges recognized in earnings											(112,304	)
Interest expense											(28,538	)
Foreign exchange gain											2,651
Income before income taxes										$	151,666
GAAP Ratios:
Loss and loss expense ratio		73.4	%		67.6	%		51.6	%		61.1	%
Acquisition cost ratio		9.0	%		0.6	%		19.6	%		10.0	%
General and administrative expense ratio		42.1	%		16.5	%		8.8	%		16.0	%
Combined ratio		124.5	%		84.7	%		80.0	%		87.1	%

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, LTD
UNAUDITED OPERATING INCOME RECONCILIATION
(Expressed in thousands of United States dollars, except share and per share amounts)

	Quarter Ended						Nine Months Ended
	September 30,						September 30,
	2009			2008			2009			2008
Net income/(loss)	$	200,554		$	(46,367	)	$	445,632		$	163,783
Net realized investment (gains)/losses		(46,861	)		76,849			(88,556	)		40,500
Net impairment charges recognized in earnings		1,953			75,027			49,390			112,304
Foreign exchange gain		(273	)		(2,728	)		(660	)		(2,651	)
Operating income	$	155,373		$	102,781		$	405,806		$	313,936
Weighted average common shares outstanding:
Basic		49,574,266			49,007,389			49,449,809			48,547,839
Diluted		52,345,913			50,669,262	*		51,676,006			50,869,098
Basic per share data:
Net income / (loss)	$	4.05		$	(0.95	)	$	9.01		$	3.37
Net realized investment (gains)/losses		(0.95	)		1.57			(1.79	)		0.83
Net impairment charges recognized in earnings		0.04			1.53			1.00			2.32
Foreign exchange gain		(0.01	)		(0.06	)		(0.01	)		(0.05	)
Operating income	$	3.13		$	2.09		$	8.21		$	6.47
Diluted per share data
Net income / (loss)	$	3.83		$	(0.92)	*	$	8.62		$	3.22
Net realized investment (gains)/losses		(0.89	)		1.52			(1.72	)		0.80
Net impairment charges recognized in earnings		0.04			1.48			0.96			2.20
Foreign exchange gain		(0.01	)		(0.05	)		(0.01	)		(0.05	)
Operating income	$	2.97		$	2.03		$	7.85		$	6.17

* For the net loss for the three months ended September 30, 2008, because operating income is positive, we are using the fully diluted weighted average common shares outstanding.

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, LTD
UNAUDITED DILUTED BOOK VALUE PER SHARE RECONCILIATION
(Expressed in thousands of United States dollars, except share and per share amounts)

	As of			As of			As of
	Sept. 30,			December 31,			Sept. 30,
	2009			2008			2008
Price per share at period end	$	47.93		$	40.60		$	35.52
Total shareholders’ equity		3,078,894			2,416,862			2,272,828
Basic common shares outstanding		49,602,354			49,036,159			49,022,495
Add: unvested restricted share units		925,437			971,907			905,621
Add: Performance based equity awards		1,329,661			1,345,903			1,345,903
Add: dilutive options/warrants outstanding		6,951,447			6,371,151			6,865,351
Weighted average exercise price per share		34.34			33.38			30.79
Deduct: options bought back via treasury method		(4,980,125	)		(5,237,965	)		(5,951,910	)
Common shares and common share equivalents outstanding		53,828,774			52,487,155			52,187,460
Basic book value per common share	$	62.07		$	49.29		$	46.36
Diluted book value per common share	$	57.20		$	46.05		$	43.55

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, LTD
UNAUDITED ANNUALIZED RETURN ON SHAREHOLDERS’ EQUITY RECONCILIATION
(Expressed in thousands of United States dollars, except for percentage information)

	Quarter Ended						Nine Months Ended
	September 30,						September 30,
	2009			2008			2009			2008
Opening shareholders’ equity	$	2,741,427		$	2,378,046		$	2,416,862		$	2,239,842
Deduct: accumulated other comprehensive income		(48,669	)		(39,048	)		(105,632	)		(136,214	)
Adjusted opening shareholders’ equity		2,692,758			2,338,998			2,311,230			2,103,628
Closing shareholders’ equity	$	3,078,894		$	2,272,828		$	3,078,894		$	2,272,828
Deduct: accumulated other comprehensive (income)/loss		(185,043	)		19,775			(185,043	)		19,775
Adjusted closing shareholders’ equity		2,893,851			2,292,603			2,893,851			2,292,603
Average shareholders’ equity	$	2,793,305		$	2,315,801		$	2,602,541		$	2,198,116
Net income/(loss) available to shareholders	$	200,554		$	(46,367	)	$	445,632		$	163,783
Annualized net income/(loss) available to shareholders		802,216			(185,468	)		594,176			218,377
Annualized return on average shareholders’ equity - net income/(loss) available to shareholders		28.7	%		(8.0	%)		22.8	%		9.9	%
Operating income available to shareholders	$	155,373		$	102,781		$	405,806		$	313,936
Annualized operating income available to shareholders		621,492			411,124			541,075			418,581
Annualized return on average shareholders’ equity - operating income available to shareholders		22.2	%		17.8	%		20.8	%		19.0	%

Source: Allied World Assurance Company Holdings, Ltd

Media:
Faye Cook
Vice President, Marketing & Communications
+1-441-278-5406
faye.cook@awac.com

Investors:
Keith J. Lennox
Investor Relations Officer
+1-646-794-0750
keith.lennox@awac.com

Website: www.awac.com

EX-99.2

Exhibit 99.2

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, LTD
3^rd Quarter Ended September 30, 2009

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

CAUTIONARY STATEMENT REGARDING FORWARD-LOOKING STATEMENTS

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

Page 2

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, LTD
FINANCIAL SUPPLEMENT TABLE OF CONTENTS

	Page
Basis of Presentation		4
I. Financial Highlights
- Consolidated Financial Highlights		5
II. Consolidated Results
- Consolidated Statements of Operations — Consecutive Quarters		6
- Consolidated Statements of Operations — Year to Date		7
- Consolidated Premium Distribution Analysis by Segment — Current Quarter		8
- Consolidated Premium Distribution Analysis by LOB — Current Quarter		9
- Consolidated Premium Distribution Analysis by Segment — Year to Date		10
- Consolidated Premium Distribution Analysis by LOB — Year to Date		11
III. Segment Results
- Consolidated Segment Results — Current Quarter		12
- Consolidated Segment Results — Prior Year Quarter		13
- Consolidated Segment Results — Current Year to Date		14
- Consolidated Segment Results — Prior Year to Date		15
IV. Balance Sheet Details
- Condensed Consolidated Balance Sheets		16
- Consolidated Investment Portfolio		17
- Consolidated Investment Portfolio — Additional Detail		18
- Reserves for Losses and Loss Expenses		20
- Capital Structure and Leverage Ratios		21
V. Other
- Operating Income Reconciliation and Basic and Diluted Earnings per Share — Consecutive Quarters		22
- Operating Income Reconciliation and Basic and Diluted Earnings per Share — Year to Date		23
- Return on Average Shareholders’ Equity and Reconciliation of Average Shareholders’ Equity — Consecutive Quarters		24
- Return on Average Shareholders’ Equity and Reconciliation of Average Shareholders’ Equity — Year to Date		25
- Diluted Book Value per Share		26
- Annualized Investment Book Yield		27
- Regulation G		29

Page 3

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, LTD
BASIS OF PRESENTATION

DEFINITIONS AND PRESENTATION

• All financial information contained herein is unaudited.

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

• Allied World Assurance Company Holdings, Ltd, along with others in the industry, use underwriting ratios as measures of performance. The loss and loss expense ratio is calculated by dividing net losses and loss expenses by net premiums earned.

The acquisition cost ratio is calculated by dividing acquisition costs by net premiums earned. The general and administrative expense ratio is calculated by dividing general and administrative expenses by net premiums earned. The expense ratio is calculated by combining the acquisition cost ratio and the general and administrative expense ratio. The combined ratio is calculated by combining the loss and loss expense ratio, the acquisition cost ratio and the general and administrative expense ratio. These ratios are relative measurements that describe for every $100 of net premiums earned, the cost of losses and expenses, respectively. The combined ratio presents the total cost per $100 of earned premium. A combined ratio below 100% demonstrates underwriting profit; a combined ratio above 100% demonstrates underwriting loss.

• In presenting the company’s results, management has included and discussed certain “non-GAAP” financial measures, as such term is defined in Regulation G promulgated by the SEC. Management believes that these non-GAAP measures, which may be defined differently by other companies, better explain the company’s results of operations in a manner that allows for a more complete understanding of the underlying trends in the company’s business. However, these measures should not be viewed as a substitute for those determined in accordance with generally accepted accounting principles (“GAAP”). The reconciliation of such non-GAAP financial measures to their respective most directly comparable GAAP financial measures in accordance with Regulation G is included in this financial supplement. See page 29 for further details.

Page 4

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, LTD
CONSOLIDATED FINANCIAL HIGHLIGHTS

	THREE MONTHS ENDED						NINE MONTHS ENDED						Previous			Previous
	SEPTEMBER 30,						SEPTEMBER 30,						Quarter			Year to Date
	2009			2008			2009			2008			Change			Change
HIGHLIGHTS
Gross premiums written	$	401,837		$	290,981		$	1,374,216		$	1,134,638			38.1	%		21.1	%
Net premiums written		320,956			233,903			1,087,431			880,725			37.2	%		23.5	%
Net premiums earned		328,771			271,973			986,411			813,921			20.9	%		21.2	%
Net investment income		73,032			76,916			227,423			226,192			(5.0	%)		0.5	%
Net income (loss)		200,554			(46,367	)		445,632			163,783			532.5	%		172.1	%
Operating income		155,373			102,781			405,806			313,936			51.2	%		29.3	%
Total investments and cash & cash equivalents		7,554,159			6,464,396			7,554,159			6,464,396			16.9	%		16.9	%
Total assets		9,641,257			8,102,251			9,641,257			8,102,251			19.0	%		19.0	%
Total shareholders’ equity		3,078,894			2,272,828			3,078,894			2,272,828			35.5	%		35.5	%
Cash flows from operating activities		164,818			133,246			567,200			509,874			23.7	%		11.2	%
PER SHARE AND SHARE DATA
Basic earnings per share
Net income (loss)	$	4.05		$	(0.95	)	$	9.01		$	3.37			526.3	%		167.4	%
Operating income	$	3.13		$	2.09		$	8.21		$	6.47			49.8	%		26.9	%
Diluted earnings per share
Net income (loss)	$	3.83		$	(0.95	)	$	8.62		$	3.22			503.2	%		167.7	%
Operating income	$	2.97		$	2.03		$	7.85		$	6.17			46.2	%		27.3	%
Weighted average common shares outstanding
Basic		49,574,266			49,007,389			49,449,809			48,547,839
Diluted		52,345,913			49,007,389			51,676,006			50,869,098
Book value	$	62.07		$	46.36		$	62.07		$	46.36			33.9	%		33.9	%
Diluted book value	$	57.20		$	43.55		$	57.20		$	43.55			31.3	%		31.3	%
FINANCIAL RATIOS
Annualized return on average equity (ROAE), net income		28.7	%		(8.0	%)		22.8	%		9.9	%	36.7		pts	12.9		pts
Annualized ROAE, operating income		22.2	%		17.8	%		20.8	%		19.0	%	4.4		pts	1.8		pts
Annualized investment book yield		4.1	%		4.7	%		4.3	%		4.8	%	(0.6		)pts	(0.5		)pts
Loss and loss expense ratio		41.5	%		64.7	%		46.9	%		61.1	%	(23.2		)pts	(14.2		)pts
Acquisition cost ratio		11.1	%		10.5	%		11.2	%		10.0	%	0.6		pts	1.2		pts
General and administrative expense ratio		17.8	%		15.0	%		18.2	%		16.0	%	2.8		pts	2.2		pts
Expense ratio		28.9	%		25.5	%		29.4	%		26.0	%	3.4		pts	3.4		pts
Combined ratio		70.4	%		90.2	%		76.3	%		87.1	%	(19.8		)pts	(10.8		)pts

Page 5

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, LTD
CONSOLIDATED STATEMENTS OF OPERATIONS — CONSECUTIVE QUARTERS

	THREE MONTHS ENDED			THREE MONTHS ENDED			THREE MONTHS ENDED			THREE MONTHS ENDED			THREE MONTHS ENDED
	SEPTEMBER 30, 2009			JUNE 30, 2009			MARCH 31, 2009			DECEMBER 31, 2008			SEPTEMBER 30, 2008
Revenues
Gross premiums written	$	401,837		$	492,782		$	479,597		$	310,945		$	290,981
Net premiums written	$	320,956		$	361,438		$	405,038		$	226,503		$	233,903
Net premiums earned	$	328,771		$	333,668		$	323,972		$	302,984		$	271,973
Net investment income		73,032			76,537			77,854			82,583			76,916
Net realized investment gains/(losses)		46,861			5,093			36,602			(19,454	)		(76,849	)
Net impairment charges recognized in earnings		(1,953	)		(5,474	)		(41,963	)		(100,593	)		(75,027	)
Other income		298			369			466			746			—
Total revenues	$	447,009		$	410,193		$	396,931		$	266,266		$	197,013
Expenses
Net losses and loss expenses:
Current year	$	209,971		$	214,334		$	208,683		$	233,789		$	272,958
Prior years		(73,530	)		(36,615	)		(60,186	)		(90,258	)		(96,948	)
Total net losses and loss expenses	$	136,441		$	177,719		$	148,497		$	143,531		$	176,010
Acquisition costs		36,630			36,963			37,129			30,849			28,615
General and administrative expenses		58,586			62,560			58,430			56,115			40,794
Interest expense		9,523			9,522			10,447			10,205			9,515
Foreign exchange (gain)/loss		(273	)		(1,222	)		835			1,230			(2,728	)
Total expenses	$	240,907		$	285,542		$	255,338		$	241,930		$	252,206
Income/(loss) before income taxes	$	206,102		$	124,651		$	141,593		$	24,336		$	(55,193	)
Income tax expense/(recovery)		5,548			10,981			10,185			4,484			(8,826	)
Net income/(loss)	$	200,554		$	113,670		$	131,408		$	19,852		$	(46,367	)
GAAP Ratios
Loss and loss expense ratio		41.5	%		53.3	%		45.8	%		47.4	%		64.7	%
Acquisition cost ratio		11.1	%		11.1	%		11.5	%		10.2	%		10.5	%
General and administrative expense ratio		17.8	%		18.7	%		18.0	%		18.5	%		15.0	%
Expense ratio		28.9	%		29.8	%		29.5	%		28.7	%		25.5	%
Combined ratio		70.4	%		83.1	%		75.3	%		76.1	%		90.2	%
Per Share Data
Basic earnings per share
Net income/(loss)	$	4.05		$	2.30		$	2.67		$	0.40		$	(0.95	)
Operating income	$	3.13		$	2.28		$	2.79		$	2.88		$	2.09
Diluted earnings per share
Net income/(loss)	$	3.83		$	2.22		$	2.57		$	0.39		$	(0.95	)
Operating income	$	2.97		$	2.20		$	2.69		$	2.80		$	2.03

Page 6

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, LTD
CONSOLIDATED STATEMENTS OF OPERATIONS — YEAR TO DATE

	NINE MONTHS ENDED			NINE MONTHS ENDED
	SEPTEMBER 30, 2009			SEPTEMBER 30, 2008
Revenues
Gross premiums written	$	1,374,216		$	1,134,638
Net premiums written		1,087,431			880,725
Net premiums earned	$	986,411		$	813,921
Net investment income		227,423			226,192
Net realized investment gains/(losses)		88,556			(40,500	)
Net impairment charges recognized in earnings		(49,390	)		(112,304	)
Other income		1,133			—
Total revenues	$	1,254,133		$	887,309
Expenses
Net losses and loss expenses:
Current year	$	632,988		$	687,428
Prior years		(170,331	)		(189,837	)
Total net losses and loss expenses		462,657			497,591
Acquisition costs		110,721			81,720
General and administrative expenses		179,575			130,445
Interest expense		29,492			28,538
Foreign exchange gain		(660	)		(2,651	)
Total expenses	$	781,785		$	735,643
Income before income taxes	$	472,348		$	151,666
Income tax expense/(recovery)		26,716			(12,117	)
Net income	$	445,632		$	163,783
GAAP Ratios
Loss and loss expense ratio		46.9	%		61.1	%
Acquisition cost ratio		11.2	%		10.0	%
General and administrative expense ratio		18.2	%		16.0	%
Expense ratio		29.4	%		26.0	%
Combined ratio		76.3	%		87.1	%
Per Share Data
Basic earnings per share
Net income	$	9.01		$	3.37
Operating income	$	8.21		$	6.47
Diluted earnings per share
Net income	$	8.62		$	3.22
Operating income	$	7.85		$	6.17

Page 7

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, LTD
CONSOLIDATED PREMIUM DISTRIBUTION ANALYSIS — CURRENT QUARTER

Page 8

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, LTD
CONSOLIDATED PREMIUM DISTRIBUTION ANALYSIS — CURRENT QUARTER

Page 9

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, LTD
CONSOLIDATED PREMIUM DISTRIBUTION ANALYSIS — YEAR TO DATE

Page 10

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, LTD
CONSOLIDATED PREMIUM DISTRIBUTION ANALYSIS — YEAR TO DATE

Page 11

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, LTD
CONSOLIDATED SEGMENT RESULTS
FOR THE THREE MONTHS ENDED SEPTEMBER 30, 2009

	U.S.			INTERNATIONAL						CONSOLIDATED
	INSURANCE			INSURANCE			REINSURANCE			TOTALS
Revenues
Gross premiums written	$	169,629		$	107,768		$	124,440		$	401,837
Net premiums written	$	126,600		$	69,939		$	124,417		$	320,956
Net premiums earned	$	111,558		$	97,705		$	119,508		$	328,771
Other income	$	298		$	—		$	—		$	298
Total revenues	$	111,856		$	97,705		$	119,508		$	329,069
Expenses
Net losses and loss expenses:
Current year	$	69,641		$	71,029		$	69,301		$	209,971
Prior years		(27,570	)		(42,728	)		(3,232	)		(73,530	)
Total net losses and loss expenses	$	42,071		$	28,301		$	66,069		$	136,441
Acquisition costs		14,354			516			21,760			36,630
General and administrative expenses		26,994			19,866			11,726			58,586
Total expenses	$	83,419		$	48,683		$	99,555		$	231,657
Underwriting income	$	28,437		$	49,022		$	19,953		$	97,412
Net investment income											73,032
Net realized investment gains											46,861
Net impairment charges recognized in earnings											(1,953	)
Interest expense											(9,523	)
Foreign exchange gain											273
Income before income taxes										$	206,102
GAAP Ratios
Loss and loss expense ratio		37.7	%		29.0	%		55.3	%		41.5	%
Acquisition cost ratio		12.9	%		0.5	%		18.2	%		11.1	%
General and administrative expense ratio		24.2	%		20.3	%		9.8	%		17.8	%
Expense ratio		37.1	%		20.8	%		28.0	%		28.9	%
Combined ratio		74.8	%		49.8	%		83.3	%		70.4	%

Page 12

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, LTD
CONSOLIDATED SEGMENT RESULTS
FOR THE THREE MONTHS ENDED SEPTEMBER 30, 2008

	U.S.			INTERNATIONAL						CONSOLIDATED
	INSURANCE			INSURANCE			REINSURANCE			TOTALS
Revenues
Gross premiums written	$	64,828		$	132,612		$	93,541		$	290,981
Net premiums written	$	45,674		$	95,943		$	92,286		$	233,903
Net premiums earned	$	32,034		$	116,377		$	123,562		$	271,973
Total revenues	$	32,034		$	116,377		$	123,562		$	271,973
Expenses
Net losses and loss expenses:
Current year	$	33,718		$	141,904		$	97,336		$	272,958
Prior years		(3,990	)		(53,576	)		(39,382	)		(96,948	)
Total net losses and loss expenses	$	29,728		$	88,328		$	57,954		$	176,010
Acquisition costs		2,852			1,794			23,969			28,615
General and administrative expenses		10,609			18,483			11,702			40,794
Total expenses	$	43,189		$	108,605		$	93,625		$	245,419
Underwriting (loss) income	$	(11,155	)	$	7,772		$	29,937		$	26,554
Net investment income											76,916
Net realized investment losses											(76,849	)
Net impairment charges recognized in earnings											(75,027	)
Interest expense											(9,515	)
Foreign exchange gain											2,728
Loss before income taxes										$	(55,193	)
GAAP Ratios
Loss and loss expense ratio		92.8	%		75.9	%		46.9	%		64.7	%
Acquisition cost ratio		8.9	%		1.5	%		19.4	%		10.5	%
General and administrative expense ratio		33.1	%		15.9	%		9.5	%		15.0	%
Expense ratio		42.0	%		17.4	%		28.9	%		25.5	%
Combined ratio		134.8	%		93.3	%		75.8	%		90.2	%

Page 13

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, LTD
CONSOLIDATED SEGMENT RESULTS
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2009

	U.S.			INTERNATIONAL						CONSOLIDATED
	INSURANCE			INSURANCE			REINSURANCE			TOTALS
Revenues
Gross premiums written	$	505,710		$	425,672		$	442,834		$	1,374,216
Net premiums written	$	369,912		$	275,066		$	442,453		$	1,087,431
Net premiums earned	$	327,850		$	320,706		$	337,855		$	986,411
Other income	$	1,133		$	—		$	—		$	1,133
Total revenues	$	328,983		$	320,706		$	337,855		$	987,544
Expenses
Net losses and loss expenses:
Current year	$	198,739		$	231,727		$	202,522		$	632,988
Prior years		(55,649	)		(90,132	)		(24,550	)		(170,331	)
Total net losses and loss expenses	$	143,090		$	141,595		$	177,972		$	462,657
Acquisition costs		42,308			3,243			65,170			110,721
General and administrative expenses		86,518			58,599			34,458			179,575
Total expenses	$	271,916		$	203,437		$	277,600		$	752,953
Underwriting income	$	57,067		$	117,269		$	60,255		$	234,591
Net investment income											227,423
Net realized investment gains											88,556
Net impairment charges recognized in earnings											(49,390	)
Interest expense											(29,492	)
Foreign exchange gain											660
Income before income taxes										$	472,348
GAAP Ratios
Loss and loss expense ratio		43.6	%		44.2	%		52.7	%		46.9	%
Acquisition cost ratio		12.9	%		1.0	%		19.3	%		11.2	%
General and administrative expense ratio		26.4	%		18.3	%		10.2	%		18.2	%
Expense ratio		39.3	%		19.3	%		29.5	%		29.4	%
Combined ratio		82.9	%		63.5	%		82.2	%		76.3	%

Page 14

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, LTD
CONSOLIDATED SEGMENT RESULTS
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2008

	U.S.			INTERNATIONAL						CONSOLIDATED
	INSURANCE			INSURANCE			REINSURANCE			TOTALS
Revenues
Gross premiums written	$	166,314		$	548,433		$	419,891		$	1,134,638
Net premiums written	$	104,437		$	358,036		$	418,252		$	880,725
Net premiums earned	$	93,758		$	357,116		$	363,047		$	813,921
Total revenues	$	93,758		$	357,116		$	363,047		$	813,921
Expenses
Net losses and loss expenses:
Current year	$	79,764		$	356,193		$	251,471		$	687,428
Prior years		(10,973	)		(114,709	)		(64,155	)		(189,837	)
Total net losses and loss expenses	$	68,791		$	241,484		$	187,316		$	497,591
Acquisition costs		8,469			2,249			71,002			81,720
General and administrative expenses		39,452			59,091			31,902			130,445
Total expenses	$	116,712		$	302,824		$	290,220		$	709,756
Underwriting (loss) income	$	(22,954	)	$	54,292		$	72,827		$	104,165
Net investment income											226,192
Net realized investment losses											(40,500	)
Net impairment charges recognized in earnings											(112,304	)
Interest expense											(28,538	)
Foreign exchange gain											2,651
Income before income taxes										$	151,666
GAAP Ratios
Loss and loss expense ratio		73.4	%		67.6	%		51.6	%		61.1	%
Acquisition cost ratio		9.0	%		0.6	%		19.6	%		10.0	%
General and administrative expense ratio		42.1	%		16.5	%		8.8	%		16.0	%
Expense ratio		51.1	%		17.1	%		28.4	%		26.0	%
Combined ratio		124.5	%		84.7	%		80.0	%		87.1	%

Page 15

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, LTD
CONDENSED CONSOLIDATED BALANCE SHEETS

	SEPTEMBER 30, 2009		DECEMBER 31, 2008
ASSETS
Fixed maturity investments available for sale, at fair value (amortized cost: 2009: $5,464,105; 2008: $5,872,031)	$	5,673,793	$	6,032,029
Fixed maturity investments trading, at fair value		1,372,287		—
Other invested assets trading, at fair value		162,125		69,902
Other invested assets available for sale, at fair value (cost: 2009: nil; 2008: $89,229)		—		55,199
Total investments		7,208,205		6,157,130
Cash and cash equivalents		345,954		706,267
Securities lending collateral		—		171,026
Insurance balances receivable		407,617		347,941
Prepaid reinsurance		198,136		192,582
Reinsurance recoverable		913,964		888,314
Accrued investment income		56,319		50,671
Deferred acquisition costs		102,976		86,181
Goodwill		268,532		268,532
Intangible assets		68,215		71,410
Net balances on purchases and sales of investments		—		12,371
Net deferred tax assets		20,984		22,452
Other assets		50,355		47,603
TOTAL ASSETS	$	9,641,257	$	9,022,480
LIABILITIES
Reserve for losses and loss expenses	$	4,749,602	$	4,576,828
Unearned premiums		1,036,933		930,358
Reinsurance balances payable		99,315		95,129
Securities lending payable		—		177,010
Net balances on purchases and sales of investments		110,040		—
Syndicated loan		—		243,750
Senior notes		498,888		498,796
Accounts payable and accrued liabilities		67,585		83,747
TOTAL LIABILITIES	$	6,562,363	$	6,605,618
SHAREHOLDERS’ EQUITY
Common shares, par value $0.03 per share:
issued and outstanding 2009: 49,602,354; 2008: 49,036,159 shares	$	1,488	$	1,471
Additional paid-in capital		1,341,661		1,314,785
Retained earnings		1,550,702		994,974
Accumulated other comprehensive income: net unrealized gains on investments, net of tax		185,043		105,632
TOTAL SHAREHOLDERS’ EQUITY	$	3,078,894	$	2,416,862
TOTAL LIABILITIES AND SHAREHOLDERS’ EQUITY	$	9,641,257	$	9,022,480
Book value per share	$	62.07	$	49.29
Diluted book value per share		57.20		46.05

Page 16

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, LTD
CONSOLIDATED TOTAL INVESTMENT PORTFOLIO

	SEPTEMBER 30, 2009					JUNE 30, 2009					MARCH 31, 2009					DECEMBER 31, 2008					SEPTEMBER 30, 2008
	FAIR MARKET					FAIR MARKET					FAIR MARKET					FAIR MARKET					FAIR MARKET
	VALUE					VALUE					VALUE					VALUE					VALUE
MARKET VALUE
Fixed maturities available for sale	$	5,673,793		75.1	%	$	6,286,561		87.6	%	$	5,808,176		86.5	%	$	6,032,029		87.9	%	$	5,433,260		84.0	%
Fixed maturities trading		1,372,287		18.2	%		233,583		3.2	%		—		—			—		—			—		—
Other invested assets trading		162,125		2.1	%		132,694		1.8	%		139,199		2.1	%		69,902		1.0	%		167,674		2.6	%
Other invested assets available for sale		—		—			4		0.0	%		58,305		0.9	%		55,199		0.8	%		71,528		1.1	%
Cash and cash equivalents		345,954		4.6	%		534,742		7.4	%		704,419		10.5	%		706,267		10.3	%		791,934		12.3	%
Total	$	7,554,159		100.0	%	$	7,187,584		100.0	%	$	6,710,099		100.0	%	$	6,863,397		100.0	%	$	6,464,396		100.0	%
ASSET ALLOCATION BY MARKET VALUE
U.S. government and agencies	$	1,364,043		18.1	%	$	1,514,542		21.1	%	$	1,474,343		22.0	%	$	1,770,235		25.8	%	$	1,822,516		28.2	%
Non-U.S. government securities		454,676		6.0	%		384,531		5.3	%		297,258		4.4	%		280,156		4.1	%		128,381		2.0	%
Corporate securities		2,410,484		31.9	%		2,129,275		29.6	%		1,643,561		24.5	%		1,361,970		19.8	%		1,248,723		19.3	%
State, municipalities and political subdivisions		323,916		4.3	%		343,382		4.8	%		374,504		5.6	%		369,619		5.4	%		56,964		0.9	%
Mortgage-backed securities		2,043,514		27.1	%		1,918,539		26.7	%		1,843,933		27.5	%		2,089,937		30.5	%		2,069,074		32.0	%
Asset-backed securities		449,447		5.9	%		229,875		3.2	%		174,577		2.5	%		160,112		2.3	%		107,602		1.6	%
Fixed income sub-total		7,046,080		93.3	%		6,520,144		90.7	%		5,808,176		86.5	%		6,032,029		87.9	%		5,433,260		84.0	%
Global high-yield bond fund		—		—			4		0.0	%		58,305		0.9	%		55,199		0.8	%		71,528		1.1	%
Hedge funds		161,840		2.1	%		132,560		1.8	%		120,708		1.8	%		48,573		0.7	%		167,674		2.6	%
Equity securities		285		0.0	%		134		0.0	%		18,491		0.3	%		21,329		0.3	%		—		—
Cash & cash equivalents		345,954		4.6	%		534,742		7.5	%		704,419		10.5	%		706,267		10.3	%		791,934		12.3	%
Total	$	7,554,159		100.0	%	$	7,187,584		100.0	%	$	6,710,099		100.0	%	$	6,863,397		100.0	%	$	6,464,396		100.0	%
FIXED INCOME CREDIT QUALITY BY MARKET VALUE
U.S. government and agencies	$	1,364,043		19.4	%	$	1,514,542		23.2	%	$	1,474,343		25.4	%	$	1,770,235		29.3	%	$	1,822,516		33.5	%
AAA/Aaa		3,314,343		47.0	%		3,081,380		47.3	%		2,734,874		47.1	%		3,244,639		53.8	%		2,568,888		47.3	%
AA/Aa		571,871		8.1	%		465,556		7.1	%		444,081		7.6	%		166,244		2.8	%		361,887		6.6	%
A/A		1,323,415		18.8	%		1,159,173		17.8	%		882,140		15.2	%		685,461		11.4	%		524,584		9.7	%
BBB/Baa		324,007		4.6	%		283,552		4.3	%		265,541		4.6	%		156,132		2.6	%		155,379		2.9	%
BB		29,082		0.4	%		1,499		0.0	%		3,709		0.1	%		8,350		0.1	%		—		—
B/B		29,248		0.4	%		11,395		0.2	%		2,172		0.0	%		969		0.0	%		6		0.0	%
CCC+ and below		90,071		1.3	%		3,047		0.0	%		1,316		0.0	%		—		—			—		—
Total	$	7,046,080		100.0	%	$	6,520,144		100.0	%	$	5,808,176		100.0	%	$	6,032,030		100.0	%	$	5,433,260		100.0	%
STATISTICS
Annualized book yield, year to date		4.3	%				4.4	%				4.6	%				4.7	%				4.8	%
Duration	3.2 years					3.0 years					2.8 years					3.3 years					3.4 years
Average credit quality (S&P)	AA					AA+					AA+					AA+					AA+

Page 17

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, LTD
INVESTMENT PORTFOLIO — ADDITIONAL DETAIL
SEPTEMBER 30, 2009

			AVERAGE	PORTFOLIO
	FAIR MARKET VALUE		RATING	PERCENTAGE
Cash & cash equivalents	$	345,954	AAA		4.6	%
U.S. government securities		840,345	AAA		11.1	%
U.S. government agencies		523,698	AAA		7.0	%
Non-U.S. government securities		454,676	AAA		6.0	%
Mortgage-backed securities:
Agency MBS		1,173,238	AAA		15.5	%
Non-agency RMBS		273,653	AA		3.6	%
Non-agency RMBS — Non investment grade strategy		139,204	B+		1.9	%
CMBS		457,419	AAA		6.1	%
Total mortgage-backed securities		2,043,514			27.1	%
Corporate securities:
Financials		1,156,823	AA-		15.3	%
Industrials		1,084,989	A		14.4	%
Utilities		168,672	BBB+		2.2	%
Total corporate securities		2,410,484			31.9	%
Asset-backed securities
Credit cards		128,906	AAA		1.7	%
Auto receivables		207,686	AAA		2.7	%
Other		112,855	AAA		1.5	%
Total asset-backed securities		449,447			5.9	%
State, municipalities and political subdivisions		323,916	AA		4.3	%
Hedge Funds		161,840	N/A		2.1	%
Equities		285	N/A		0.0	%
Total Investment Portfolio	$	7,554,159			100.0	%

TOP 10 CORPORATE EXPOSURES

			PORTFOLIO
CORPORATE	FAIR MARKET VALUE		PERCENTAGE
Verizon Communications Inc	$	86,845		1.1	%
Bank of America Corp		80,486		1.1	%
JPMorgan Chase & Co		73,992		1.0	%
Citigroup Inc		61,089		0.8	%
AT&T Inc		57,741		0.8	%
HSBC Holdings PLC		55,326		0.7	%
Wells Fargo & Co		53,296		0.7	%
Morgan Stanley		53,140		0.7	%
France Telecom SA		51,975		0.7	%
Enel SpA		43,956		0.6	%

Page 18

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, LTD
INVESTMENT PORTFOLIO — ADDITIONAL DETAIL
SEPTEMBER 30, 2009

NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES DETAIL
NON INVESTMENT GRADE STRATEGY

																			AVERAGE
																	TOTAL		CREDIT
Vintage	AAA		AA		A		BBB		BB		B		CCC		CC		FAIR VALUE		ENHANCEMENT**
2007	$	—	$	—	$	—	$	8,743	$	—	$	—	$	37,303	$	—	$	46,046		31.5	%
2006		—		5,952		4,854		684		6,671		17,285		38,825		—		74,271		17.2	%
2005 and prior		7,581		359		—		2,480		4,582		—		3,885		—		18,887		30.8	%
Total*	$	7,581	$	6,311	$	4,854	$	11,907	$	11,253	$	17,285	$	80,013	$	—	$	139,204		23.7	%

* Included in the above is fair value of $4.3 million of subprime mortgages rated BB.

NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES DETAIL
CORE FIXED INCOME ACCOUNT

																			AVERAGE
																	TOTAL		CREDIT
Vintage	AAA		AA		A		BBB		BB		B		CCC		CC		FAIR VALUE		ENHANCEMENT**
2007	$	2,076	$	—	$	33	$	—	$	—	$	—	$	6,676	$	—	$	8,785		17.5	%
2006		33,401		—		10,924		—		381		—		—		663		45,369		17.4	%
2005 and prior		167,794		—		2,974		26,681		17,448		1,883		2,719		—		219,499		10.1	%
Total	$	203,271	$	—	$	13,931	$	26,681	$	17,829	$	1,883	$	9,395	$	663	$	273,653		11.6	%

* Included in the above is fair value of $1.3 million of subprime mortgages rated AAA.

COMMERCIAL MORTGAGE BACKED SECURITIES DETAIL

																			AVERAGE
																	TOTAL		CREDIT
Vintage	AAA		AA		A		BBB		BB		B		CCC		CC		FAIR VALUE		ENHANCEMENT**
2006	$	145,240	$	—	$	—	$	168	$	—	$	—	$	—	$	—	$	145,408		26.1	%
2005 and prior		277,405		34,200		406		—		—		—		—		—		312,011		30.3	%
Total	$	422,645	$	34,200	$	406	$	168	$	—	$	—	$	—	$	—	$	457,419		27.4	%

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

Page 19

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, LTD
RESERVES FOR LOSSES AND LOSS EXPENSES

	AT SEPTEMBER 30, 2009
	U.S.			INTERNATIONAL						CONSOLIDATED
	INSURANCE			INSURANCE			REINSURANCE			TOTAL
Case reserves (net of reinsurance recoverable)	$	185,173		$	387,479		$	293,425		$	866,077
IBNR (net of reinsurance recoverable)		695,059			1,432,172			842,330			2,969,561
Total	$	880,232		$	1,819,651		$	1,135,755		$	3,835,638
IBNR/Total reserves (net of reinsurance recoverable)		79.0	%		78.7	%		74.2	%		77.4	%

	AT DECEMBER 31, 2008
	U.S.			INTERNATIONAL						CONSOLIDATED
	INSURANCE			INSURANCE			REINSURANCE			TOTAL
Case reserves (net of reinsurance recoverable)	$	160,807		$	385,323		$	255,985		$	802,115
IBNR (net of reinsurance recoverable)		658,554			1,411,707			816,138			2,886,399
Total	$	819,361		$	1,797,030		$	1,072,123		$	3,688,514
IBNR/Total reserves (net of reinsurance recoverable)		80.4	%		78.6	%		76.1	%		78.3	%

Page 20

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, LTD
CAPITAL STRUCTURE AND LEVERAGE RATIOS

	SEPTEMBER 30,			JUNE 30,			MARCH 31,			DECEMBER 31,			SEPTEMBER 30,
	2009			2009			2009			2008			2008
Senior notes	$	498,888		$	498,857		$	498,826		$	498,796		$	498,767
Syndicated loan		—			—			—			243,750			—
Shareholders’ equity		3,078,894			2,741,427			2,491,860			2,416,862			2,272,828
Total capitalization	$	3,577,782		$	3,240,284		$	2,990,686		$	3,159,408		$	2,771,595
Leverage ratios
Debt to total capitalization		13.9	%		15.4	%		16.7	%		23.5	%		18.0	%
Closing shareholders’ equity	$	3,078,894		$	2,741,427		$	2,491,860		$	2,416,862		$	2,272,828
Add/deduct: accumulated other comprehensive (income)/loss		(185,043	)		(48,669	)		(48,204	)		(105,632	)		19,775
Adjusted shareholders’ equity	$	2,893,851		$	2,692,758		$	2,443,656		$	2,311,230		$	2,292,603
Net premiums written (trailing 12 months)	$	1,313,935		$	1,226,882		$	1,185,694		$	1,107,228		$	1,070,107
Net premiums written (trailing 12 months) to adjusted shareholders’ equity		0.45			0.46			0.49			0.48			0.47
Total investments and cash & cash equivalents	$	7,554,159		$	7,187,584		$	6,710,099		$	6,863,397		$	6,464,396
Total investments and cash & cash equivalents to adjusted shareholders’ equity		2.61			2.67			2.75			2.97			2.82
Reserve for losses and loss expenses	$	4,749,602		$	4,713,727		$	4,603,078		$	4,576,828		$	4,198,761
Deduct: reinsurance recoverable		(913,964	)		(909,716	)		(880,390	)		(888,314	)		(777,283	)
Net reserve for losses and loss expenses	$	3,835,638		$	3,804,011		$	3,722,688		$	3,688,514		$	3,421,478
Net reserve for losses and loss expenses to adjusted shareholders’ equity		1.33			1.41			1.52			1.60			1.49

Page 21

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, LTD
OPERATING INCOME RECONCILIATION AND
BASIC AND DILUTED EARNINGS PER SHARE INFORMATION

	THREE MONTHS ENDED			THREE MONTHS ENDED			THREE MONTHS ENDED			THREE MONTHS ENDED		THREE MONTHS ENDED
	SEPTEMBER 30, 2009			JUNE 30, 2009			MARCH 31, 2009			DECEMBER 31, 2008		SEPTEMBER 30, 2008
Net income/(loss)	$	200,554		$	113,670		$	131,408		$	19,852	$	(46,367	)
Add:
Net realized investment (gains)/losses		(46,861	)		(5,093	)		(36,602	)		19,454		76,849
Net impairment charges in earnings		1,953			5,474			41,963			100,593		75,027
Foreign exchange (gains)/losses		(273	)		(1,222	)		835			1,230		(2,728	)
Operating income	$	155,373		$	112,829		$	137,604		$	141,129	$	102,781
Weighted average common shares outstanding
Basic		49,574,266			49,523,459			49,248,118			49,028,249		49,007,389
Diluted		52,345,913			51,257,887			51,120,049			50,366,814		50,669,262	*
Basic per share data
Net income/(loss)	$	4.05		$	2.30		$	2.67		$	0.40	$	(0.95	)
Add:
Net realized investment (gains)/losses		(0.95	)		(0.10	)		(0.74	)		0.40		1.57
Net impairment charges in earnings		0.04			0.11			0.85			2.05		1.53
Foreign exchange (gains)/losses		(0.01	)		(0.03	)		0.01			0.03		(0.06	)
Operating income	$	3.13		$	2.28		$	2.79		$	2.88	$	2.09
Diluted per share data
Net income/(loss)	$	3.83		$	2.22		$	2.57		$	0.39	$	(0.92)	*
Add:
Net realized investment (gains)/losses		(0.89	)		(0.10	)		(0.71	)		0.39		1.52
Net impairment charges in earnings		0.04			0.11			0.82			2.00		1.48
Foreign exchange (gains)/losses		(0.01	)		(0.03	)		0.01			0.02		(0.05	)
Operating income	$	2.97		$	2.20		$	2.69		$	2.80	$	2.03

* For the net loss for the three months ended September 30, 2008, because operating income is positive, we are using the fully diluted weighted average common shares outstanding.

Page 22

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, LTD
OPERATING INCOME RECONCILIATION AND
BASIC AND DILUTED EARNINGS PER SHARE INFORMATION

	NINE MONTHS ENDED			NINE MONTHS ENDED
	SEPTEMBER 30, 2009			SEPTEMBER 30, 2008
Net income	$	445,632		$	163,783
Add:
Net realized investment (gains)/losses		(88,556	)		40,500
Net impairment charges in earnings		49,390			112,304
Foreign exchange gain		(660	)		(2,651	)
Operating income	$	405,806		$	313,936
Weighted average common shares outstanding
Basic		49,449,809			48,547,839
Diluted		51,676,006			50,869,098
Basic per share data
Net income	$	9.01		$	3.37
Add:
Net realized investment (gains)/losses		(1.79	)		0.83
Net impairment charges in earnings		1.00			2.32
Foreign exchange gain		(0.01	)		(0.05	)
Operating income	$	8.21		$	6.47
Diluted per share data
Net income	$	8.62		$	3.22
Add:
Net realized investment (gains)/losses		(1.72	)		0.80
Net impairment charges in earnings		0.96			2.20
Foreign exchange gain		(0.01	)		(0.05	)
Operating income	$	7.85		$	6.17

Page 23

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, LTD
RETURN ON AVERAGE SHAREHOLDERS’ EQUITY AND
RECONCILIATION OF AVERAGE SHAREHOLDERS’ EQUITY

	THREE MONTHS ENDED			THREE MONTHS ENDED			THREE MONTHS ENDED			THREE MONTHS ENDED			THREE MONTHS ENDED
	SEPTEMBER 30, 2009			JUNE 30, 2009			MARCH 31, 2009			DECEMBER 31, 2008			SEPTEMBER 30, 2008
Opening shareholders’ equity	$	2,741,427		$	2,491,860		$	2,416,862		$	2,272,828		$	2,378,046
Deduct/add: accumulated other comprehensive (income)/loss		(48,669	)		(48,204	)		(105,632	)		19,775			(39,048	)
Adjusted opening shareholders’ equity	$	2,692,758		$	2,443,656		$	2,311,230		$	2,292,603		$	2,338,998
Closing shareholders’ equity	$	3,078,894		$	2,741,427		$	2,491,860		$	2,416,862		$	2,272,828
Deduct/add: accumulated other comprehensive (income)/loss		(185,043	)		(48,669	)		(48,204	)		(105,632	)		19,775
Adjusted closing shareholders’ equity	$	2,893,851		$	2,692,758		$	2,443,656		$	2,311,230		$	2,292,603
Average shareholders’ equity	$	2,793,305		$	2,568,207		$	2,377,443		$	2,301,917		$	2,315,801
Net income/(loss) available to shareholders	$	200,554		$	113,670		$	131,408		$	19,852		$	(46,367	)
Annualized net income/(loss) available to shareholders		802,216			454,680			525,632			79,408			(185,468	)
Annualized return on average shareholders’ equity — net income/(loss) available to shareholders		28.7	%		17.7	%		22.1	%		3.4	%		(8.0	%)
Operating income available to shareholders	$	155,373		$	112,829		$	137,604		$	141,129		$	102,781
Annualized operating income available to shareholders		621,492			451,316			550,416			564,516			411,124
Annualized return on average shareholders’ equity — operating income available to shareholders		22.2	%		17.6	%		23.2	%		24.5	%		17.8	%

Page 24

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, LTD
RETURN ON AVERAGE SHAREHOLDERS’ EQUITY AND
RECONCILIATION OF AVERAGE SHAREHOLDERS’ EQUITY

	NINE MONTHS ENDED			NINE MONTHS ENDED
	SEPTEMBER 30, 2009			SEPTEMBER 30, 2008
Opening shareholders’ equity	$	2,416,862		$	2,239,842
Deduct: accumulated other comprehensive (income)/loss		(105,632	)		(136,214	)
Adjusted opening shareholders’ equity	$	2,311,230		$	2,103,628
Closing shareholders’ equity	$	3,078,894		$	2,272,828
Deduct: accumulated other comprehensive (income)/loss		(185,043	)		19,775
Adjusted closing shareholders’ equity	$	2,893,851		$	2,292,603
Average shareholders’ equity	$	2,602,541		$	2,198,116
Net income available to shareholders	$	445,632		$	163,783
Annualized net income available to shareholders		594,176			218,377
Annualized return on average shareholders’ equity — net income available to shareholders		22.8	%		9.9	%
Operating income available to shareholders	$	405,806		$	313,936
Annualized operating income available to shareholders		541,075			418,581
Annualized return on average shareholders’ equity — operating income available to shareholders		20.8	%		19.0	%

Page 25

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, LTD
DILUTED BOOK VALUE PER SHARE

	SEPTEMBER 30,			DECEMBER 31,			SEPTEMBER 30,
	2009			2008			2008
Price per share at period end	$	47.93		$	40.60		$	35.52
Total shareholders’ equity	$	3,078,894		$	2,416,862		$	2,272,828
Basic common shares outstanding		49,602,354			49,036,159			49,022,495
Add: unvested restricted share units		925,437			971,907			905,621
Add: performance based equity awards		1,329,661			1,345,903			1,345,903
Add: dilutive options/warrants outstanding		6,951,447			6,371,151			6,865,351
Weighted average exercise price per share	$	34.34		$	33.38		$	30.79
Deduct: options bought back via treasury method		(4,980,125	)		(5,237,965	)		(5,951,910	)
Common shares and common share equivalents outstanding		53,828,774			52,487,155			52,187,460
Basic book value per common share	$	62.07		$	49.29		$	46.36
Diluted book value per common share	$	57.20		$	46.05		$	43.55

Page 26

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, LTD
ANNUALIZED INVESTMENT BOOK YIELD

	THREE MONTHS ENDED			THREE MONTHS ENDED			NINE MONTHS ENDED			NINE MONTHS ENDED
	SEPTEMBER 30, 2009			SEPTEMBER 30, 2008			SEPTEMBER 30, 2009			SEPTEMBER 30, 2008
Net investment income	$	73,032		$	76,916		$	227,423		$	226,192
Deduct: annual and non-recurring items		N/A			735			880			7,138
Net investment income, recurring	$	73,032		$	76,181		$	226,543		$	219,054
Annualized net investment income, recurring	$	292,128		$	304,723		$	302,057		$	292,072
Add: annual and non-recurring items		N/A			735			880			7,138
Normalized net investment income	$	292,128		$	305,458		$	302,937		$	299,210
Opening aggregate invested assets:
Fixed maturity investments, amortized cost	$	6,456,549		$	5,685,111		$	5,872,031		$	5,595,943
Other invested assets, available for sale, cost		4			81,241			89,229			291,458
Equity securities, cost		46			—			—			—
Other invested assets, at cost		146,485			178,266			21,493			—
Cash and cash equivalents		475,668			439,933			100,198			202,582
Restricted cash		59,074			84,492			655,828			67,886
Balances receivable on sale of investments		266,610			96,801			50,439			84,998
Balances due on purchase of investments		(359,216	)		(107,054	)		12,371			(141,462	)
Opening aggregate invested assets	$	7,045,220		$	6,458,790		$	6,801,589		$	6,101,405
Closing aggregate invested assets:
Fixed maturity investments, amortized cost	$	6,815,658		$	5,440,019		$	6,815,658		$	5,440,019
Other invested assets, available for sale, cost		—			81,262			—			81,262
Equity securities, cost		46			—			46			—
Other invested assets, cost		168,704			180,716			168,704			180,716
Cash and cash equivalents		345,954			744,245			345,954			744,245
Restricted cash		—			47,689			—			47,689
Balances receivable on sale of investments		—			36,264			—			36,264
Balances due on purchase of investments		(110,040	)		(68,681	)		(110,040	)		(68,681	)
Closing aggregate invested assets	$	7,220,322		$	6,461,514		$	7,220,322		$	6,461,514
Average aggregate invested assets	$	7,132,771		$	6,460,152		$	7,010,956		$	6,281,460
Annualized investment book yield		4.1	%		4.7	%		4.3	%		4.8	%

Page 27

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, LTD
ANNUALIZED INVESTMENT BOOK YIELD

	SIX MONTHS ENDED			THREE MONTHS ENDED			TWELVE MONTHS ENDED
	JUNE 30, 2009			MARCH 31, 2009			DECEMBER 31, 2008
Net investment income	$	154,391		$	77,854		$	308,775
Deduct: annual and non-recurring items		880			N/A			14,540	*
Net investment income, recurring	$	153,511		$	77,854		$	294,235
Annualized net investment income, recurring	$	307,022		$	311,416		$	294,235
Add: annual and non-recurring items		880			N/A			6,619	*
Normalized net investment income	$	307,902		$	311,416		$	300,854
Opening aggregate invested assets:
Fixed maturity investments, amortized cost	$	5,872,031		$	5,872,031		$	5,595,943
Other invested assets, available for sale, cost		89,229			89,229			291,458
Other invested assets, at cost		21,493			21,493			—
Cash and cash equivalents		100,198			100,198			202,582
Restricted cash		655,828			655,828			67,886
Balances receivable on sale of investments		50,439			50,439			84,998
Balances due on purchase of investments		12,371			12,371			(141,462	)
Opening aggregate invested assets	$	6,801,589		$	6,801,589		$	6,101,405
Closing aggregate invested assets:
Fixed maturity investments, amortized cost	$	6,456,549		$	5,712,331		$	5,872,031
Other invested assets, available for sale, cost		4			89,250			89,229
Equity securities, cost		46			20,985			21,493
Other invested assets, at cost		146,485			139,790			100,198
Cash and cash equivalents		475,668			645,070			655,828
Restricted cash		59,074			59,349			50,439
Balances receivable on sale of investments		266,610			97,907			12,371
Balances due on purchase of investments		(359,216	)		(94,253	)		—
Closing aggregate invested assets	$	7,045,220		$	6,670,429		$	6,801,589
Average aggregate invested assets	$	6,923,405		$	6,736,009		$	6,451,497
Annualized investment book yield		4.4	%		4.6	%		4.7	%

* Includes an annual dividend received at the beginning of the year and excludes the annual dividend received at the end of the year.

Page 28

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, LTD
REGULATION G

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

OPERATING INCOME

Operating income is an internal performance measure used by the company in the management of its operations and represents after-tax operational results excluding, as applicable, net realized investment gains or losses, net impairment charges recognized in earnings and foreign exchange gain or loss. The company excludes net realized investment gains or losses, net impairment charges recognized in earnings and net foreign exchange gain or loss from its calculation of operating income because the amount of these gains or losses is heavily influenced by, and fluctuates in part according to, the availability of market opportunities. The company believes these amounts are largely independent of its business and underwriting process and including them distorts the analysis of trends in its operations. In addition to presenting net income determined in accordance with GAAP, the company believes that showing operating income enables investors, analysts, rating agencies and other users of its financial information to more easily analyze the company’s results of operations in a manner similar to how management analyzes the company’s underlying business performance. Operating income should not be viewed as a substitute for GAAP net income. See pages 22 and 23 for reconciliation of operating income to net income.

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

Annualized return on average shareholders’ equity is calculated using average equity, excluding the average after tax unrealized gains or losses on investments. Unrealized gains (losses) on investments are primarily the result of interest rate and risk premium movements and the resultant impact on fixed income securities. Such gains (losses) are not related to management actions or operational performance, nor are they likely to be realized. Therefore, the company believes that excluding these unrealized gains (losses) provides a more consistent and useful measurement of operating performance, which supplements GAAP information. In calculating ROAE, the net income (loss) available to shareholders for the period is multiplied by the number of such periods in a calendar year in order to arrive at annualized net income (loss) available to shareholders. The company presents ROAE as a measure that is commonly recognized as a standard of performance by investors, analysts, rating agencies and other users of its financial information. See pages 24 and 25 for reconciliation of average shareholders’ equity.

ANNUALIZED OPERATING RETURN ON AVERAGE SHAREHOLDERS’ EQUITY

Annualized operating return on average shareholders’ equity is calculated using operating income (as defined above and annualized in the manner described for net income (loss) available to shareholders under ROAE above), and average shareholders’ equity, excluding the average after tax unrealized gains (losses) on investments. Unrealized gains (losses) are excluded from equity for the reasons outlined in the annualized return on average shareholders’ equity explanation above. See pages 22 and 23 for the reconciliation of net income to operating income and pages 24 and 25 for the reconciliations of average shareholders’ equity.

DILUTED BOOK VALUE PER SHARE

The company has included diluted book value per share because it takes into account the effect of dilutive securities; therefore, the company believes it is a better measure of calculating shareholder returns than book value per share. See page 26 for a reconciliation of diluted book value per share to basic book value per share.

ANNUALIZED INVESTMENT BOOK YIELD

Annualized investment book yield is calculated by dividing normalized net investment income by average aggregate invested assets at book value. In calculating annualized investment book yield, normalized net investment income for the period is multiplied by the number of such periods in a calendar year in order to arrive at annualized net investment income. Normalized net investment income is adjusted for known annual or non-recurring items. The company utilizes and presents the investment yield in order to better disclose the performance of the company’s investments and to show the components of the company’s ROAE. See pages 27 and 28 for reconciliation of annualized investment book yield.

Page 29

EX-99.3

Exhibit 99.3

Allied World Assurance Company Holdings, Ltd.

Fixed Income Securities Listing as at September 30, 2009

Security ID	Description	Maturity Date		Par			Book Value $			Fair Value $
000780ET9	AMAC CMO03-5 2A3		4/25/2018		1,174,642			1,141,547			1,105,690
001330AK5	AIGMT2007-AA ABS 2007-AA-A 144A		12/15/2011		523,000			523,000			518,110
00206RAC6	AT&T INC CORP BND		2/5/2010		438,000			438,000			438,333
00206RAR3	AT&T INC CORP BND		2/15/2019		22,000,000			23,880,996			23,543,928
00209AAE6	AT&T WIRELESS SERVICES INC CORP BND		3/1/2011		13,012,000			13,482,096			14,119,680
00209AAG1	NEW CINGULAR WIRELESS SERVICES CORP BND		5/1/2012		13,425,000			14,650,629			15,325,579
002451AA0	AXA FINANCIAL INC CORP BND		8/1/2010		10,452,000			10,681,083			10,955,362
002824AS9	ABBOTT LABORATORIES CORP BND		5/15/2011		1,200,000			1,213,818			1,284,304
002824AU4	ABBOTT LABORATORIES SENIOR CORP BND		4/1/2019		4,000,000			3,983,695			4,252,565
008684AA0	AHMA CMO 06-6 A1A		12/25/2046		12,598,404			5,139,123			5,946,572
01F0424A8	FNMA TBA 15 YR		10/1/2019		22,000,000			22,745,781			22,770,000
01F0426A6	FNMA TBA MBS		10/1/2037		18,000,000			18,223,594			18,225,000
01F0506A9	FNMA TBA 30 YR		10/1/2034		(1,000,000	)		(1,018,398	)		(1,032,500	)
01F0526A5	FNMA TBA 30 YR		10/1/2034		4,000,000			4,086,953			4,183,125
01F0606A8	FNMA TBA 30 YR		10/1/2032		21,000,000			22,102,500			22,151,719
01F0606A8	FNMA TBA 30 YR		10/1/2032		(21,000,000	)		(22,095,938	)		(22,151,719	)
01F0606B6	FNMA TBA 30 YR		11/1/2034		21,000,000			22,027,852			22,082,813
01F0606B6	FNMA TBA 30 YR		11/1/2034		(21,000,000	)		(22,033,594	)		(22,082,813	)
01F0606C4	FNMA 30 YR		12/1/2034		21,000,000			21,956,484			22,004,063
01N0506A0	GNMA TBA MBS		10/1/2034		5,000,000			4,969,844			5,172,656
020039DB6	ALLTEL CORPORATION NT		7/1/2012		29,225,000			29,817,398			32,420,867
021087QT1	ALPINE UTAH SCH DIST MUNI BND GO		3/15/2010		4,575,000			4,597,027			4,649,298
021087QU8	ALPINE UTAH SCH DIST MUNI BND GO		3/15/2011		4,775,000			4,819,888			4,996,512
02580EBS1	AMER EXPRESS BK CORP BND		4/26/2010		320,000			320,000			317,142
02580ECN1	AMERICAN EXPRESS BANK FSB CORP BND BKNT		4/16/2013		2,000,000			1,986,589			2,096,824
0258M0BX6	AMERICAN EXPRESS CREDIT CO CORP BND		12/2/2010		73,000			73,000			71,962
0258M0CR8	AMERICAN EXPRESS CREDIT CO SENIOR CORP BND		11/9/2009		654,000			654,001			653,882
02660TBM4	AHM WHOLE CMO 04-3		10/25/2034		2,821,486			2,697,668			1,797,287
02660UAE0	AHMA06-3 WHOLE CMO 06-3 2A11		10/25/2046		12,473,233			5,315,442			5,952,227
02666QXM0	AMERICAN HONDA FINANCE CORP BND 144A		12/15/2010		1,250,000			1,234,234			1,286,231
02R0426A1	FHLMC GOLD TBA MBS		10/1/2035		27,000,000			26,993,945			27,307,969
02R0426A1	FHLMC GOLD TBA MBS		10/1/2035		(27,000,000	)		(27,140,703	)		(27,307,969	)
02R0506A4	FHLMC TBA 30 YR		10/1/2034		(18,000,000	)		(18,384,609	)		(18,585,000	)
031162AZ3	AMGEN INC CORP BND		2/1/2019		2,275,000			2,306,189			2,510,582
03444RAA6	ANDREW W MELLON FNDTN N Y CORP BND		8/1/2014		4,000,000			3,999,170			4,178,400
034863AA8	ANGLO AMERICAN CAPITAL PLC CORP BND 144A		4/8/2014		6,980,000			7,959,445			8,184,050
035229CE1	ANHEUSER-BUSCH CORP BND		3/15/2012		1,600,000			1,581,342			1,754,691
038461AC3	AID-EGYPT GOVT BND		9/15/2015		25,000,000			26,351,230			26,281,250
04057PFH6	ARIZONA SCH FACS BRD CTFS PART MUNI BND REV		9/1/2019		1,775,000			1,691,987			1,930,330
040654MP7	ARIZONA ST TRANSN BRD MUNI BND REV		7/1/2020		500,000			480,693			558,760
040654NY7	ARIZONA ST TRANSN BRD MUNI BND REV		7/1/2021		1,500,000			1,420,769			1,669,815
040688GV9	ARIZONA WTR INFRASTRUCTURE FIN MUNI BND REV		10/1/2021		1,000,000			951,596			1,133,240
041239AR5	ARKLE ABS 06-2A 2A1 144A		11/17/2012		981,000			981,000			941,760
042707AF6	ARRMF ABS 06-2A A1B 144A		9/20/2036		54,858			54,858			54,583
04271AAA9	ARRMF ABS 07-3A A1B 144A		9/16/2036		183,758			183,758			182,093
04271AAB7	ARRMF ABS 07-3A A2B 144A		9/16/2056		719,000			719,000			693,835
044074BZ4	ASHEVILLE N C MUNI BND REV		8/1/2019		2,000,000			1,944,725			2,237,140
05348EAM1	AVALONBAY COMMUNITIES INC SENIOR CORP BND		3/15/2017		2,000,000			2,017,117			2,023,121
053611AC3	AVERY DENNISON CORP CORP BND		1/15/2013		1,500,000			1,441,427			1,509,210
054303AS1	AVON PRODUCTS INC CORP BND		1/15/2011		1,700,000			1,678,037			1,763,619
05522RAR9	BACCT ABS06-A16 A16		5/15/2013		12,000,000			11,893,616			12,487,500
05522RBA5	BANK OF AMERICA CREDIT CARD TR ABS 07-A7 A7		8/15/2012		131,000			131,000			130,708
05522RBS6	BACCT ABS 08-A1 A1		4/15/2013		1,701,000			1,701,000			1,704,402
055451AG3	BHP BILLITON FINANCE (USA) LTD CORP BND		4/1/2014		4,000,000			3,987,898			4,396,958
05565QBH0	BP CAPITAL MARKETS PLC CORP BND		3/10/2015		3,000,000			3,054,070			3,097,448
05565QBL1	BP CAPITAL MARKETS PLC CORP BND		5/8/2014		9,000,000			8,987,551			9,279,398
058508AN2	BALL ST UNIV IND MUNI BND REV		7/1/2018		1,900,000			1,876,640			2,101,400
059469AA4	BOAA CMO06-7 A1		10/25/2036		381,729			378,767			380,736
05947UDP0	BAFU CMBS01-3 A2		4/11/2037		400,000			400,322			412,783

Allied World Assurance Company Holdings, Ltd.

Fixed Income Securities Listing as at September 30, 2009

Security ID	Description	Maturity Date		Par		Book Value $		Fair Value $
05948X6X4	BANK OF AMERICA MTG SEC CMO 04-5 3A2		6/25/2019		8,540,677		8,588,230		8,612,418
05951KAX1	BAFC CMO06-7-T2A1		10/25/2036		745,286		672,640		663,379
05954DAG1	BAFC CMO 07-E 4A1		7/20/2047		8,145,995		4,987,677		4,555,241
060505CT9	BANK OF AMERICA SENIOR CORP BND		11/6/2009		980,000		980,000		980,003
060505CY8	BANK OF AMERICA CORP BND		2/12/2010		980,000		980,000		979,510
060505DA9	BANK OF AMERICA CORP CORP BND		3/15/2017		41,400,000		41,594,523		39,474,811
060505DG6	BANK OF AMERICA CORP BND		8/13/2010		3,270,000		3,270,000		3,265,520
060505DK7	BANK OF AMERICA CORP CORP BND		9/11/2012		3,525,000		3,532,633		3,699,656
06050BAA9	BANK OF AMERICA CORP — GTD CORP BND GOVT GUAR		6/15/2012		94,700,000		94,782,075		98,578,912
06050BAG6	BANK OF AMERICA CORP — GTD CORP BND		4/30/2012		2,500,000		2,499,373		2,537,250
06051GDX4	BANK OF AMERICA CORP BND		5/1/2018		23,170,000		21,921,339		22,923,888
06052DAB1	BAAT09-1A ABS 09-1A A2 144A		12/15/2011		48,000,000		47,996,350		48,139,114
06052FAC4	BAAT09-2 ABS 09-2A A3 144A		9/15/2013		50,000,000		49,999,476		50,000,000
06423AAG8	BANK ONE CO CORP BND		8/1/2010		1,378,000		1,409,439		1,454,939
06423RAK2	BOIT ABS 02-A6 A		6/15/2012		654,000		654,045		654,020
067316AA7	BACARDI LTD CORP BND 144A		4/1/2014		12,100,000		12,089,963		13,634,347
06738CAF6	BARCLAYS BANK PLC CAPSEC CORP BND 144A		6/29/2049		16,777,000		12,101,328		14,260,450
06739FFZ9	BARCLAYS BANK PLC LOCAL BND		7/10/2014		2,950,000		2,946,687		3,106,347
071365ZL7	BATTLE CREEK MICH MUNI BND GO		5/1/2011		2,025,000		2,073,107		2,124,995
071813AZ2	BAXTER INTERNATIONAL INC CORP BND		3/1/2014		5,400,000		5,386,361		5,646,952
07384MWF5	BSARM WHOLE CMO 03-5		8/25/2033		167,229		172,364		146,342
073868AA9	BALTA06-6 CMO 06-6 1A1		11/25/2036		21,378,800		8,128,300		9,951,406
07386HGG0	BALTA04-11 WHOLE CMO 04-3		4/25/2034		1,290,366		1,070,306		948,290
07387AET8	BSARM WHOLE CMO 05-10		10/25/2035		16,000,000		13,557,690		11,021,808
07388LAE0	BEAR STEARNS SENIOR CMBS 06-PW13-A4		9/11/2041		38,000,000		38,477,756		35,622,814
073928X73	BEAR STEARNS CO INC CORP BND		8/10/2012		16,625,000		17,672,187		18,562,159
07401YAQ8	BEAR STEARNS MORTGAGE FUNDING CMO 07-AR4 2A1		6/25/2037		11,705,931		5,518,847		6,108,155
075887AU3	BECTON DICKINSON AND COMPANY CORP BND		5/15/2019		1,625,000		1,614,717		1,712,729
097023AV7	BOEING CO CORP BND		3/15/2014		1,500,000		1,494,024		1,619,732
097023AY1	BOEING CO SENIOR CORP BND		2/15/2015		1,250,000		1,246,156		1,264,053
097023AZ8	BOEING CO SENIOR CORP BND		2/15/2020		3,500,000		3,467,450		3,590,560
10138MAH8	BOTTLING GROUP LLC CORP BND		3/15/2014		3,000,000		3,393,303		3,515,424
10138MAK1	BOTTLING GROUP LLC CORP BND		1/15/2019		3,000,000		2,989,436		3,178,721
108151UZ2	BRIDGEPORT CONN MUNI BND GO		7/15/2017		750,000		770,956		791,198
12500GUP7	CC USA INC. CORP BND 144A		10/23/2009		105,000		105,000		104,643
12513EAG9	CD SENIOR CMBS 05-CD1		7/15/2044		25,000,000		24,917,254		24,660,298
12572QAD7	CME GROUP INC CORP BND		2/15/2014		2,000,000		2,006,126		2,209,115
126175AH1	COMM03-LB1A SENIOR CMBS 03-LB1A 144A		6/10/2010		37,693,757		220,111		369,399
126380AB0	CSMC CMO06-9 2A1		11/25/2036		2,511,047		2,012,228		1,883,285
126384AJ5	CSMC WHOLE CMO 07-2 2A1		3/25/2037		1,665,428		1,478,747		1,385,137
12638PBU2	CSMC CMO07-3 4A5		4/25/2037		1,715,577		1,468,725		1,433,879
126650AV2	CVS CAREMARK CORP CORP BND		9/15/2014		10,160,000		9,835,074		10,733,928
126650BH2	CVS CAREMARK CORP CORP BND		6/1/2017		2,000,000		1,861,573		2,139,304
126671ZJ8	COUNTRYWIDE HOME EQUITY LN TR ABS 2003-D A		6/15/2029		2,406,882		2,081,659		1,080,218
12668BPY3	CWALT CMO 06-4CB 2A4		4/25/2036		14,638,317		9,178,250		10,538,124
126694M96	COUNTRYWIDE HOME LOANS CMO 06-OA5 2A1		4/25/2046		8,086,738		3,468,815		4,043,369
12669E5B8	CWHL CMO03-50 A1		11/25/2018		1,385,659		1,329,715		1,397,299
12669EYQ3	COUNTRYWIDE HOME LOANS TR WHOLE CMO 03-37		8/25/2033		145,265		150,527		104,736
126775RR8	CABARRUS CNTY N C MUNI BND GO		2/1/2018		500,000		499,324		596,050
13063A4V3	STATE OF CALIFORNIA MUNI BND GO		4/1/2031		2,000,000		2,077,087		2,149,940
13170FCV3	CALYON (NEW YORK BRANCH) CORP BND		2/22/2010		163,000		162,988		162,772
13170FEC3	CAYLON NY BRANCH CORP BND		6/11/2010		654,000		654,000		653,411
134429AM1	CAMPBELL SOUP COMPANY CORP BND		2/15/2011		1,550,000		1,583,633		1,655,408
134429AT6	CAMPBELL SOUP COMPANY CORP BND		2/15/2019		3,000,000		3,001,743		3,078,822
135087WX8	CANADA GOVERNMENT GOVT BND		6/1/2010		18,055,000		15,157,152		17,389,524
135087XB5	CANADA GOVERNMENT BND		6/1/2011		21,040,000		19,298,284		21,198,603
135087YN8	CANADA GOVERNMENT GOVT BND		6/1/2013		34,930,000		33,353,709		34,062,056
135087YS7	CANADA GOVERNMENT GOVT BND		6/1/2014		13,780,000		12,611,107		13,142,296
135087ZA5	CANADA GOVERNMENT SENIOR CORP BND		9/10/2014		900,000		894,882		896,409

Allied World Assurance Company Holdings, Ltd.

Fixed Income Securities Listing as at September 30, 2009

Security ID	Description	Maturity Date		Par		Book Value $		Fair Value $
13974CAE8	CARAT ABS07-2 A4A		2/18/2014		12,000,000		11,687,660		12,614,760
14041NDZ1	COMET ABS07-A9 A9		8/15/2012		28,000,000		28,024,095		28,050,400
14312XAC5	CARMX ABS08-2 A3A		10/15/2012		4,000,000		3,994,092		4,200,400
144470AR2	CARRIER CREEK MICH DRAIN DIST MUNI BND GO		6/1/2022		1,000,000		919,448		1,092,330
14912L4F5	CATERPILLAR FINL SERV CORP BND		2/17/2014		3,300,000		3,299,669		3,645,921
15135UAA7	CENOVUS ENERGY INC CORP BND 144A		9/15/2014		1,350,000		1,348,699		1,380,718
152735TB2	CENTRAL BUCKS PA SCH DIST MUNI BND GO		5/15/2010		3,210,000		3,208,067		3,263,158
161045CG2	CHARLOTTE NC WTR & SWR SYS MUNI BND REV		6/1/2019		500,000		514,442		523,280
161571AT1	CHAIT ABS 05-A8		10/15/2012		131,000		130,830		130,611
161571BU7	CHAIT ABS 07-A4 A4		4/16/2012		504,000		504,000		503,516
161571BW3	CHAIT ABS 07-A6 A6		4/16/2012		916,000		916,000		914,010
161571BZ6	CHAIT ABS07-A9 A9		6/16/2014		8,700,000		7,995,540		8,565,498
161571CG7	CHAIT ABS07 A16 - A16		6/16/2014		5,000,000		4,623,841		4,959,350
161571CH5	CHAIT ABS07-A17 A		10/15/2014		10,000,000		9,999,454		10,812,500
161571CL6	CHAIT ABS 08-A1 A1		1/15/2012		1,308,000		1,308,000		1,308,183
161571CW2	CHAIT ABS 08-A9 A9		5/15/2013		5,720,000		5,543,130		5,961,313
161571DP6	CHAIT ABS 09-A5 A5		6/15/2012		50,000,000		50,000,000		50,177,502
16162WLM9	CHASE CMO 05-S2 A1		10/25/2035		17,097,029		14,265,230		15,659,168
161630AC2	CHASE WHOLE CMO07-A1 1A3		2/25/2037		18,277,353		18,497,333		16,236,111
161630AG3	CHASE CMO07-A1-2A1		2/25/2037		32,671,063		33,204,196		29,631,380
161630AN8	CHASE WHOLE CMO07-A1 4A1		2/25/2037		5,264,369		5,316,070		4,655,880
161630AQ1	CHASE CMO07-A1 5A1		2/25/2037		4,261,852		4,190,465		3,757,927
162419AF2	CHATTANOOGA TENN INDL DEV BRD MUNI BND REV		10/1/2011		2,000,000		2,034,560		2,093,420
165573QR0	CHESTER CNTY PA MUNI BND GO		8/15/2022		1,000,000		952,257		1,109,410
166751AK3	CHEVRONTEXACO CORPORATION SENIOR CORP BND		3/3/2012		40,100,000		40,098,070		41,674,563
167485BM2	CHICAGO ILL MUNI BND GO		1/1/2013		5,000,000		5,211,777		5,558,500
167723CG8	CHICAGO ILL TRAN AUTH CAP GRNT MUNI BND REV		6/1/2010		2,070,000		2,089,854		2,132,804
17275RAE2	CISCO SYSTEMS INC CORP BND		2/15/2019		4,000,000		3,992,571		4,196,090
172967BC4	CITIGROUP INC CORP BND		1/18/2011		53,800,000		54,688,378		55,747,775
172967CX7	CITIGROUP INC CORP BND		5/18/2010		2,200,000		2,135,135		2,190,210
172967DW8	CITIGROUP INC CORP BND		12/28/2009		190,000		189,946		189,728
172967EG2	CITIGROUP INC CORP BND		8/13/2010		916,000		915,778		910,312
172967EY3	CITIGROUP INC SENIOR CORP BND		8/12/2014		1,875,000		1,862,603		1,946,524
1729733P2	CMSI CMO 05-7 3A1		10/25/2035		17,406,839		14,888,729		16,063,031
172973L64	CMSI CMO 04-9 2A1		12/25/2019		13,563,862		13,600,541		12,915,509
17305EBC8	CCCIT ABS 02-A8 A8		11/7/2011		65,000		65,000		64,990
17305ECU7	CCCIT ABS05-A7 A7		10/22/2012		500,000		508,587		519,375
17305EDJ1	CCCIT ABS 06-A6 A6		5/24/2012		327,000		326,391		326,169
17307GJG4	CMLTI ABS 04-OPT1		10/25/2034		2,234,561		1,565,329		1,038,624
17310MAE0	CITIGROUP SENIOR CMBS 06-C5 A4		10/15/2049		66,000,000		66,214,328		61,183,403
17310MBQ2	CGCMT CMBS06_C5 AMP2 144A		10/15/2049		500,000		363,098		167,870
17313UAA7	CITIGROUP INC — GTD CORP BND GOVT GUAR		12/9/2011		2,200,000		2,195,974		2,273,964
17313YAB7	CITIGROUP FUNDING INC — GTD CORP BND		5/5/2011		10,000,000		10,013,483		10,066,500
17313YAJ0	CITIGROUP FUNDING INC — GTD SENIOR CORP BND		12/10/2012		5,000,000		5,001,694		5,069,300
17313YAN1	CITIGROUP FUNDING INC — GTD CORP BND		11/15/2012		59,300,000		59,198,004		59,338,545
181059BM7	CLARK CNTY NEV SCH DIST FOR IS MUNI BND GO		6/15/2017		1,500,000		1,495,548		1,667,730
184126UY4	CLAYTON CNTY & CLAYTON CNTY GA MUNI BND REV		5/1/2020		2,000,000		1,893,265		2,225,960
189054AC3	CLOROX COMPANY THE CORP BND		2/1/2011		1,000,000		996,721		1,049,736
189194CL5	CLOVERDALE IND MULTI-SCH BLDG MUNI BND REV		7/15/2019		1,365,000		1,322,353		1,511,151
191216AK6	COCA-COLA COMPANY THE CORP BND		11/15/2017		1,125,000		1,195,944		1,228,729
191216AL4	COCA-COLA COMPANY THE CORP BND		3/15/2014		18,825,000		18,748,422		19,495,780
191219BU7	COCA-COLA ENTERPRISES INC. CORP BND		3/1/2012		13,700,000		13,679,352		14,250,843
19416QDN7	COLGATE PALMOLIVE CO. SENIOR CORP BND		8/5/2015		3,500,000		3,495,182		3,571,384
196632GV9	COLORADO SPRINGS UTILS REV MUNI BND REV		11/15/2039		8,700,000		8,700,000		9,140,046
199491RW3	COLUMBUS OHIO MUNI BND GO		7/1/2012		500,000		522,857		561,660
20030NAE1	COMCAST CORPORATION CORP BND		1/15/2014		2,000,000		2,051,246		2,136,424
20030NAL5	COMCAST CORPORATION CORP BND		3/15/2016		7,500,000		7,943,919		8,057,213
20046PAB4	COMM CMBS00-C1 A2		8/15/2033		206,490		204,446		209,864
20272BAF1	COMMONWEALTH BANK AUSTRALIA, G CORP BND 144A		6/25/2014		50,000,000		50,805,840		51,880,001

Allied World Assurance Company Holdings, Ltd.

Fixed Income Securities Listing as at September 30, 2009

Security ID	Description	Maturity Date		Par		Book Value $		Fair Value $
20774UWJ0	CONNECTICUT ST HEALTH & EDL FA MUNI BND REV		7/1/2010		1,125,000		1,140,939		1,157,681
207758AY9	CONNECTICUT ST SPL TAX OBLIG R MUNI BND REV		7/1/2019		650,000		619,925		727,714
20825CAR5	CONOCOPHILLIPS CORP BND		2/1/2019		1,250,000		1,337,615		1,352,273
20825CAS3	CONOCOPHILLIPS CORP BND		2/1/2014		29,000,000		28,928,284		30,962,600
20825CAT1	CONOCOPHILLIPS CORP BND		1/15/2015		5,000,000		4,995,933		5,320,243
209111DJ9	CONSOLIDATED EDISON CO OF NY CORP BND		9/1/2010		1,000,000		1,012,969		1,050,038
209111DZ3	CONSOLIDATED EDISON CO OF NY CORP BND		7/1/2012		550,000		535,688		590,280
210518CS3	CONSUMERS ENERGY COMPANY CORP BND		9/15/2019		2,000,000		1,999,150		2,296,530
2131838D1	COOK CNTY ILL MUNI BND GO		11/15/2019		1,000,000		955,403		1,111,700
225317AB2	CREDIT AGRICOLE SA CORP BND 144A		5/28/2010		2,191,000		2,191,000		2,181,798
22540VGE6	CSFB SENIOR CMBS 01-CKN5-A4		9/15/2034		45,309,301		45,431,457		46,649,236
22541NQ77	CSFB03-AR9 WHOLE CMO 03-AR9 2A2		3/25/2033		93,318		53,601		74,813
22541NVB2	CSFB SENIOR CMBS 02-CP5 144A		12/15/2035		27,904,308		37,797		69,761
22541QDG4	CSFB CMBS03-C3 A3		5/15/2038		2,031,358		1,979,621		2,036,903
22545BAA9	CSMC CMBS06-C2 A1		3/15/2039		1,455,258		1,426,651		1,481,153
22546QAC1	CREDIT SUISSE FIRST BOSTON CORP BND		8/13/2019		3,000,000		3,000,685		3,055,644
22882MAA6	CRGT ABS 03-2 A		9/18/2034		76,357		76,357		59,992
22942KCD0	CSMC CMO 06-7 10A2		8/25/2036		17,500,478		10,201,317		11,025,301
230822PL6	CUMBERLAND VALLEY PA SCH DIST MUNI BND GO		11/15/2020		1,300,000		1,236,054		1,444,144
231266DM6	CURATORS UNIV MO SYS FACS REV MUNI BND REV		11/1/2021		2,000,000		1,846,929		2,236,980
232434AE0	CWALT06-OC8 CMO 06-0C8 2A3		11/25/2036		26,000,000		3,570,424		2,095,600
23245QAA7	CWALT WHOLE CMO 06-0A21 A1		3/20/2047		7,688,226		3,324,750		3,887,167
23326TAA3	DEN NORSKE BANK ASA CORP BND 144A		10/13/2009		1,465,000		1,465,002		1,464,311
233889AE4	DCAT ABS08-B A3A		9/10/2012		4,950,000		4,819,449		5,116,221
235308KE2	DALLAS TEX INDPT SCH DIST MUNI BND GO		8/15/2021		1,605,000		1,519,709		1,805,465
244217BK0	JOHN DEERE CAPITAL CORPORATION SENIOR CORP BND		1/15/2013		4,000,000		3,896,314		4,252,102
24422EQD4	JOHN DEERE CAPITAL CORPORATION CORP BND		10/17/2011		22,000,000		21,999,612		23,599,816
24702RAH4	DELL INC CORP BND		6/15/2012		14,600,000		14,591,008		15,014,516
249164HG2	DENVER COLO CITY & CNTY MUNI BND GO		8/1/2021		2,000,000		1,899,940		2,255,900
2491817F9	DENVER COLO CITY & CNTY ARPT R MUNI BND REV		11/15/2010		3,000,000		2,995,463		3,117,630
249183LD4	DENVER COLO CITY & CNTY S MUNI BND REV		5/1/2020		2,325,000		2,359,905		2,395,308
249575AM3	DEPFA ACS BANK CORP BND 144A		6/28/2011		2,800,000		2,920,502		2,888,060
250119BY9	DES MOINES IOWA MET WASTEWATER MUNI BND REV		6/1/2019		1,045,000		1,007,320		1,172,250
251255C94	DETROIT MICH WTR SUPPLY SYS MUNI BND REV		7/1/2033		2,000,000		2,082,323		2,181,140
251255ZJ7	DETROIT MICH WTR SUPPLY SYS MUNI BND REV		7/1/2022		1,000,000		1,043,007		1,023,720
25151AAG6	DBALT CMO 06-AR3 A6		8/25/2036		32,000,000		4,335,767		2,876,800
25152XGZ7	DEUTSCHE BANK AG SENIOR CORP BND		10/1/2009		1,243,000		1,243,000		1,243,000
25152XHQ6	DEUTSCHE BANK AG SENIOR CORP BND		1/25/2010		1,112,000		1,112,000		1,114,002
2515A0Q30	DEUTSCHE BK LDN CORP BND		8/18/2014		3,000,000		2,995,041		3,033,962
254760C66	DISTRICT OF COLUMBIA MUNI BND GO		6/1/2010		2,945,000		2,992,398		3,032,408
25746UBH1	DOMINION RESOURCES INC SENIOR CORP BND		8/15/2019		1,000,000		1,001,060		1,038,428
260003AD0	DOVER CORP CORP BND		2/15/2011		1,000,000		1,011,879		1,061,108
263534BM0	EI DUPONT DE NEMOURS & CO CORP BND		4/30/2010		1,700,000		1,694,897		1,734,807
263534BX6	EI DUPONT DE NEMOURS & CO CORP BND		3/15/2015		3,000,000		2,993,907		3,197,127
264399EQ5	DUKE ENERGY CORP CORP BND		2/1/2014		11,150,000		11,131,651		12,314,688
26441YAS6	DUKE REALTY LP CORP BND		2/15/2015		725,000		721,043		745,722
268317AA2	ELECTRICITE DE FRANCE CORP BND 144A		1/26/2014		19,900,000		19,830,557		21,884,317
278058DG4	EATON CORPORATION CORP BND		3/20/2014		4,000,000		3,998,775		4,313,033
282317HC3	EGG HARBOR TWP N J SCH DIST MUNI BND GO		7/15/2019		1,320,000		1,349,035		1,640,206
291011AT1	EMERSON ELECTRIC CO CORP BND		5/1/2013		1,000,000		971,092		1,063,912
291011AY0	EMERSON ELECTRIC CO CORP BND		10/15/2019		1,625,000		1,615,952		1,699,414
29268BAA9	ENEL FINANCE INTERNATIONAL SA CORP BND 144A		1/15/2013		15,000,000		15,015,788		16,079,013
29268BAE1	ENEL FINANCE INTERNATIONAL SA		10/7/2019		28,000,000		27,876,800		27,876,800
293791AN9	ENTERPRISE PROD OPER LP SENIOR CORP BND		10/15/2014		22,000,000		21,501,980		23,263,348
294223LN0	EPHRATA PA AREA SCH DIST MUNI BND GO		3/1/2019		500,000		479,702		550,450
302570AV8	FPL GROUP CAPITAL INC CORP BND		9/1/2011		1,000,000		981,378		1,062,702
302570BD7	FPL GROUP CAPITAL INC CORP BND		3/1/2019		4,375,000		4,373,180		4,835,801
30769PAA0	FARMER MAC AGENCY BND 144A		7/15/2011		15,900,000		15,876,547		17,002,983
31283K2C1	FHLMC GOLD POOL # G11671		11/1/2014		8,799,018		8,658,388		9,255,875

Allied World Assurance Company Holdings, Ltd.

Fixed Income Securities Listing as at September 30, 2009

Security ID	Description	Maturity Date		Par		Book Value $		Fair Value $
31283K4C9	FHLMC GOLD POOL # G11719		6/1/2020		14,249,777		14,070,459		15,110,241
31283K6U7	FHLMC GOLD POOL # G11783		8/1/2015		3,352,947		3,299,687		3,508,361
31283KJU3	FHLMC GOLD POOL # G11175		12/1/2014		1,074,457		1,085,228		1,146,720
31283KN87	FHLMC GOLD POOL # G11315		9/1/2017		5,104		5,402		5,436
31283KS90	FHLMC GOLD POOL # G11444		8/1/2018		24,905		26,357		26,483
31283KSY5	FHLMC GOLD POOL # G11435		6/1/2018		12,380		13,101		13,183
31283KT40	FHLMC GOLD POOL # G11471		11/1/2013		3,296,950		3,220,406		3,432,881
31283KTA6	FHLMC GOLD POOL # G11445		9/1/2018		34,986		37,025		37,202
3128E27C4	FHLMC GOLD POOL # D96291		9/1/2023		1,941,077		1,855,137		2,003,191
3128GNW87	FHLMC GOLD POOL # E86071		11/1/2016		3,360		3,556		3,578
3128GNY77	FHLMC GOLD POOL # E86134		11/1/2016		24,525		25,952		26,117
3128GP3U5	FHLMC GOLD POOL # E87111		1/1/2017		7,695		8,142		8,194
3128GP3V3	FHLMC GOLD POOL # E87112		1/1/2017		32,931		34,847		35,068
3128GP4U4	FHLMC GOLD POOL # E87135		1/1/2017		4,993		5,284		5,317
3128GP7M9	FHLMC GOLD POOL # E87200		1/1/2017		6,229		6,591		6,633
3128GPSA2	FHLMC GOLD POOL # E86813		12/1/2016		5,878		6,219		6,259
3128GPVH3	FHLMC GOLD POOL # E86916		12/1/2016		2,779		2,940		2,959
3128GQ3Q2	FHLMC GOLD POOL # E88007		2/1/2017		11,224		11,878		11,953
3128GQ6E6	FHLMC GOLD POOL # E88069		2/1/2017		9,803		10,373		10,439
3128GQGA3	FHLMC GOLD POOL # E87393		1/1/2017		20,326		21,508		21,645
3128GQJT9	FHLMC GOLD POOL # E87474		1/1/2017		12,713		13,453		13,538
3128GQK26	FHLMC GOLD POOL # E87513		1/1/2017		14,456		15,298		15,395
3128GQK34	FHLMC GOLD POOL # E87514		1/1/2017		4,120		4,360		4,388
3128GQKB6	FHLMC GOLD POOL # E87490		1/1/2017		7,184		7,602		7,650
3128GQP54	FHLMC GOLD POOL # E87644		1/1/2017		9,764		10,332		10,398
3128GQQQ7	FHLMC GOLD POOL # E87663		2/1/2017		10,137		10,726		10,794
3128GQQZ7	FHLMC GOLD POOL # E87672		2/1/2017		34,391		36,392		36,623
3128GQSG7	FHLMC GOLD POOL # E87719		2/1/2017		5,379		5,692		5,728
3128GQU58	FHLMC GOLD POOL # E87804		2/1/2017		13,376		14,154		14,244
3128GQU90	FHLMC GOLD POOL # E87808		2/1/2017		3,504		3,708		3,732
3128GQVB4	FHLMC GOLD POOL # E87810		2/1/2017		7,199		7,618		7,666
3128GQW31	FHLMC GOLD POOL # E87866		2/1/2017		15,944		16,872		16,942
3128GQW49	FHLMC GOLD POOL # E87867		2/1/2017		29,904		31,644		31,845
3128GR3Y3	FHLMC GOLD POOL # E88915		2/1/2017		22,620		23,936		24,088
3128GR6N4	FHLMC GOLD POOL # E88977		4/1/2017		31,280		33,101		33,310
3128GRBH1	FHLMC GOLD POOL # E88140		2/1/2017		11,936		12,630		12,711
3128GRBJ7	FHLMC GOLD POOL # E88141		2/1/2017		3,295		3,487		3,509
3128GRFT1	FHLMC GOLD POOL # E88278		3/1/2017		24,703		26,141		26,307
3128GRJD2	FHLMC GOLD POOL # E88360		3/1/2017		7,831		8,287		8,340
3128GRK81	FHLMC GOLD POOL # E88419		3/1/2017		8,955		9,476		9,536
3128GRLA5	FHLMC GOLD POOL # E88421		3/1/2017		36,381		38,499		38,743
3128GRM71	FHLMC GOLD POOL # E88482		3/1/2017		7,930		8,391		8,444
3128GRP94	FHLMC GOLD POOL # E88548		3/1/2017		4,094		4,332		4,360
3128GRQA0	FHLMC GOLD POOL # E88549		3/1/2017		10,277		10,875		10,944
3128GRSP5	FHLMC GOLD POOL # E88626		3/1/2017		8,808		9,320		9,379
3128GRSY6	FHLMC GOLD POOL # E88635		3/1/2017		17,019		18,009		18,123
3128GRUF4	FHLMC GOLD POOL # E88682		3/1/2017		4,194		4,438		4,466
3128GRUT4	FHLMC GOLD POOL # E88694		3/1/2017		9,400		9,947		10,010
3128GRWQ8	FHLMC GOLD POOL # E88755		2/1/2017		668		707		706
3128GRYD5	FHLMC GOLD POOL # E88808		4/1/2017		4,470		4,730		4,760
3128GS5Y9	FHLMC GOLD POOL # E89863		4/1/2017		7,072		7,483		7,531
3128GSDJ3	FHLMC GOLD POOL # E89105		4/1/2017		14,191		15,017		15,112
3128GSGB7	FHLMC GOLD POOL # E89194		4/1/2017		19,805		20,957		21,090
3128GSGU5	FHLMC GOLD POOL # E89211		4/1/2017		38,197		40,420		40,676
3128GSKE6	FHLMC GOLD POOL # E89293		4/1/2017		44,310		46,889		47,186
3128GSKV8	FHLMC GOLD POOL # E89308		4/1/2017		15,855		16,778		16,884
3128GSLX3	FHLMC GOLD POOL # E89342		4/1/2017		11,219		11,872		11,948
3128GSLY1	FHLMC GOLD POOL # E89343		4/1/2017		19,021		20,128		20,256
3128GSNL7	FHLMC GOLD POOL # E89395		4/1/2017		9,772		10,341		10,406

Allied World Assurance Company Holdings, Ltd.

Fixed Income Securities Listing as at September 30, 2009

Security ID	Description	Maturity Date		Par		Book Value $		Fair Value $
3128GSQN0	FHLMC GOLD POOL # E89461		4/1/2017		11,111		11,758		11,832
3128GSSN8	FHLMC GOLD POOL # E89525		4/1/2017		34,295		36,291		36,521
3128GV2N9	FHLMC GOLD POOL # E91681		10/1/2017		43,688		46,232		46,524
3128GV3C2	FHLMC GOLD POOL # E91695		10/1/2017		21,876		23,150		23,296
3128GV3D0	FHLMC GOLD POOL # E91696		10/1/2017		37,320		39,493		39,742
3128GV3Z1	FHLMC GOLD POOL # E91716		10/1/2017		42,626		45,108		45,392
3128GV7G9	FHLMC GOLD POOL # E91795		10/1/2017		10,753		11,379		11,451
3128GVBY5	FHLMC GOLD POOL # E90955		8/1/2017		3,781		4,001		4,018
3128GVH94	FHLMC GOLD POOL # E91156		9/1/2017		4,771		5,049		5,081
3128GVJA9	FHLMC GOLD POOL # E91157		9/1/2017		19,046		20,155		20,282
3128GVJB7	FHLMC GOLD POOL # E91158		9/1/2017		10,465		11,074		11,144
3128GVJQ4	FHLMC GOLD POOL # E91171		9/1/2017		29,798		31,533		31,732
3128GVLF5	FHLMC GOLD POOL # E91226		9/1/2017		14,174		14,999		15,094
3128GVLH1	FHLMC GOLD POOL # E91228		9/1/2017		20,674		21,878		22,016
3128GVLJ7	FHLMC GOLD POOL # E91229		9/1/2017		27,281		28,869		29,051
3128GVMM9	FHLMC GOLD POOL # E91264		8/1/2017		9,765		10,334		10,399
3128GVNL0	FHLMC GOLD POOL # E91295		9/1/2017		11,584		12,258		12,335
3128GVNM8	FHLMC GOLD POOL # E91296		9/1/2017		15,710		16,625		16,729
3128GVNN6	FHLMC POOL # E91297		9/1/2010		22,270		23,474		23,787
3128GVNV8	FHLMC GOLD POOL # E91304		9/1/2017		12,646		13,383		13,467
3128GVNX4	FHLMC GOLD POOL # E91306		9/1/2017		109,380		115,749		116,478
3128GVPM6	FHLMC GOLD POOL # E91328		9/1/2017		10,338		10,940		11,009
3128GVPN4	FHLMC GOLD POOL # E91329		9/1/2017		6,977		7,383		7,430
3128GVPP9	FHLMC GOLD POOL # E91330		9/1/2017		46,474		49,180		49,490
3128GVQH6	FHLMC GOLD POOL # E91356		9/1/2017		40,490		42,848		43,118
3128GVRA0	FHLMC GOLD POOL # E91381		9/1/2017		11,404		12,068		12,144
3128GVRC6	FHLMC GOLD POOL # E91383		9/1/2017		18,060		19,112		19,232
3128GVRE2	FHLMC GOLD POOL # E91385		9/1/2017		11,442		12,108		12,185
3128GVRS1	FHLMC GOLD POOL # E91397		9/1/2017		7,695		8,144		8,195
3128GVRT9	FHLMC GOLD POOL # E91398		9/1/2017		20,195		21,371		21,506
3128GVRY8	FHLMC GOLD POOL # E91403		9/1/2017		90,476		95,745		96,348
3128GVT83	FHLMC GOLD POOL # E91475		9/1/2017		42,099		44,551		44,831
3128GVTN0	FHLMC GOLD POOL # E91457		9/1/2017		9,031		9,557		9,617
3128GVTW0	FHLMC GOLD POOL # E91465		9/1/2017		31,388		33,216		33,425
3128GVUD0	FHLMC GOLD POOL # E91480		9/1/2017		4,471		4,731		4,761
3128GVUE8	FHLMC GOLD POOL # E91481		9/1/2017		28,408		30,062		30,251
3128GVUX6	FHLMC GOLD POOL # E91498		10/1/2017		7,809		8,263		8,315
3128GVVE7	FHLMC GOLD POOL # E91513		10/1/2017		59,306		62,760		63,155
3128GVVF4	FHLMC GOLD POOL # E91514		10/1/2017		26,333		27,867		28,042
3128GVVJ6	FHLMC GOLD POOL # E91517		10/1/2017		38,838		41,099		41,358
3128GVVY3	FHLMC GOLD POOL # E91531		10/1/2017		28,825		30,504		30,629
3128GVW22	FHLMC GOLD POOL # E91565		9/1/2017		9,598		10,157		10,221
3128GVW89	FHLMC GOLD POOL # E91571		10/1/2017		16,125		17,064		17,172
3128GVZV5	FHLMC GOLD POOL # E91656		10/1/2017		36,972		39,125		39,371
3128GW5Q7	FHLMC GOLD POOL # E92655		11/1/2017		17,530		18,551		18,667
3128GW6G8	FHLMC GOLD POOL # E92671		11/1/2017		10,100		10,689		10,756
3128GWAQ1	FHLMC GOLD POOL # E91815		10/1/2017		8,737		9,245		9,304
3128GWAT5	FHLMC GOLD POOL # E91818		10/1/2017		46,220		48,911		49,112
3128GWAU2	FHLMC GOLD POOL # E91819		10/1/2017		44,464		47,054		47,350
3128GWB49	FHLMC GOLD POOL # E91859		10/1/2017		5,219		5,523		5,558
3128GWB80	FHLMC GOLD POOL # E91863		10/1/2017		29,487		31,204		31,401
3128GWBH0	FHLMC GOLD POOL # E91840		10/1/2017		40,849		43,228		43,500
3128GWC89	FHLMC GOLD POOL # E91895		10/1/2017		14,562		15,410		15,507
3128GWCL0	FHLMC GOLD POOL # E91875		10/1/2017		23,888		25,279		25,438
3128GWCW6	FHLMC GOLD POOL # E91885		10/1/2017		7,046		7,456		7,503
3128GWDP0	FHLMC GOLD POOL # E91910		10/1/2017		19,036		20,145		20,272
3128GWEG9	FHLMC GOLD POOL # E91935		10/1/2017		55,885		59,139		59,511
3128GWEK0	FHLMC GOLD POOL # E91938		10/1/2017		14,127		14,949		15,043
3128GWEP9	FHLMC GOLD POOL # E91942		10/1/2017		9,937		10,515		10,581

Allied World Assurance Company Holdings, Ltd.

Fixed Income Securities Listing as at September 30, 2009

Security ID	Description	Maturity Date		Par		Book Value $		Fair Value $
3128GWF86	FHLMC GOLD POOL # E91991		10/1/2017		19,815		20,969		21,102
3128GWFN3	FHLMC GOLD POOL # E91973		10/1/2017		16,539		17,502		17,612
3128GWHH4	FHLMC GOLD POOL # E92032		10/1/2017		19,366		20,494		20,623
3128GWJG4	FHLMC GOLD POOL # E92063		11/1/2017		42,840		45,335		45,520
3128GWK31	FHLMC GOLD POOL # E92114		10/1/2017		25,384		26,862		27,031
3128GWK56	FHLMC GOLD POOL # E92116		11/1/2017		25,542		27,030		27,199
3128GWMS4	FHLMC GOLD POOL # E92169		11/1/2017		14,163		14,987		15,082
3128GWP85	FHLMC GOLD POOL # E92247		11/1/2017		14,290		15,122		15,217
3128GWQ27	FHLMC GOLD POOL # E92273		11/1/2017		27,030		28,604		28,784
3128GWQ92	FHLMC GOLD POOL # E92280		11/1/2017		23,168		24,517		24,671
3128GWQN1	FHLMC GOLD POOL # E92261		11/1/2017		22,038		23,322		23,469
3128GWQY7	FHLMC GOLD POOL # E92271		11/1/2017		11,435		12,101		12,177
3128GWR42	FHLMC GOLD POOL # E92307		11/1/2017		27,362		28,956		29,138
3128GWRF7	FHLMC GOLD POOL # E92286		11/1/2017		20,298		21,480		21,568
3128GWV21	FHLMC GOLD POOL # E92433		11/1/2017		42,467		44,940		45,223
3128GWVL9	FHLMC GOLD POOL # E92419		11/1/2017		7,781		8,234		8,286
3128GWWM6	FHLMC GOLD POOL # E92452		11/1/2017		5,792		6,130		6,155
3128GWXD5	FHLMC GOLD POOL # E92476		11/1/2017		16,786		17,763		17,875
3128GWXW3	FHLMC GOLD POOL # E92493		11/1/2017		35,214		37,265		37,417
3128GWYS1	FHLMC GOLD POOL # E92521		11/1/2017		8,028		8,496		8,549
3128GWZQ4	FHLMC GOLD POOL # E92551		11/1/2017		19,928		21,089		21,222
3128GX3H7	FHLMC GOLD POOL # E93500		12/1/2017		34,255		36,250		36,398
3128GX3X2	FHLMC GOLD POOL # E93514		12/1/2017		9,314		9,856		9,918
3128GX5V4	FHLMC POOL # E93560		12/1/2017		41,461		43,865		44,055
3128GX7A8	FHLMC GOLD POOL # E93589		1/1/2018		22,081		23,368		23,514
3128GXAX4	FHLMC GOLD POOL # E92722		11/1/2017		44,756		47,362		47,660
3128GXBC9	FHLMC GOLD POOL # E92735		11/1/2017		9,949		10,529		10,595
3128GXD29	FHLMC GOLD POOL # E92821		12/1/2017		10,521		11,134		11,204
3128GXEA0	FHLMC GOLD POOL # E92829		12/1/2017		23,736		25,119		25,221
3128GXEK8	FHLMC GOLD POOL # E92838		12/1/2017		12,140		12,847		12,899
3128GXEV4	FHLMC GOLD POOL # E92848		12/1/2017		4,199		4,443		4,471
3128GXFT8	FHLMC GOLD POOL # E92878		12/1/2017		23,675		25,054		25,212
3128GXGG5	FHLMC GOLD POOL # E92899		12/1/2017		8,081		8,552		8,605
3128GXHA7	FHLMC GOLD POOL # E92925		12/1/2017		36,771		38,913		39,158
3128GXHQ2	FHLMC GOLD POOL # E92939		12/1/2017		45,210		47,844		48,145
3128GXM52	FHLMC GOLD POOL # E93080		12/1/2017		28,259		29,905		30,093
3128GXM60	FHLMC POOL # E93081		12/1/2017		19,810		20,958		21,050
3128GXMW3	FHLMC GOLD POOL # E93073		1/1/2018		5,122		5,420		5,454
3128GXN36	FHLMC GOLD POOL # E93110		12/1/2017		46,076		48,760		49,066
3128GXND4	FHLMC GOLD POOL # E93088		12/1/2017		22,002		23,284		23,430
3128GXQ74	FHLMC GOLD POOL # E93178		12/1/2017		23,986		25,383		25,543
3128GXQ82	FHLMC GOLD POOL # E93179		12/1/2017		15,816		16,737		16,842
3128GXQ90	FHLMC GOLD POOL # E93180		12/1/2017		36,335		38,451		38,693
3128GXRA6	FHLMC GOLD POOL # E93181		12/1/2017		21,426		22,674		22,817
3128GXRT5	FHLMC GOLD POOL # E93198		12/1/2017		10,980		11,620		11,693
3128GXSA5	FHLMC GOLD POOL # E93213		12/1/2017		23,084		24,429		24,582
3128GXST4	FHLMC GOLD POOL # E93230		1/1/2018		15,958		16,888		16,957
3128GXU53	FHLMC GOLD POOL # E93304		12/1/2017		8,648		9,152		9,210
3128GXWM4	FHLMC GOLD POOL # E93352		1/1/2018		11,990		12,689		12,768
3128GXZW9	FHLMC GOLD POOL # E93457		1/1/2018		3,995		4,228		4,255
3128GY2E3	FHLMC GOLD POOL # E94373		2/1/2018		23,223		24,576		24,723
3128GY2H6	FHLMC GOLD POOL # E94376		2/1/2018		23,729		25,111		25,261
3128GY3K8	FHLMC GOLD POOL # E94402		2/1/2018		8,972		9,495		9,552
3128GY3P7	FHLMC GOLD POOL # E94406		2/1/2018		22,151		23,441		23,554
3128GY3Q5	FHLMC GOLD POOL # E94407		2/1/2018		10,411		11,018		11,084
3128GY3V4	FHLMC GOLD POOL # E94412		2/1/2018		17,107		18,104		18,217
3128GY3X0	FHLMC GOLD POOL # E94414		2/1/2018		16,047		16,982		17,089
3128GY4C5	FHLMC GOLD POOL # E94419		2/1/2018		12,134		12,841		12,921
3128GY5H3	FHLMC GOLD POOL # E94448		2/1/2018		14,949		15,820		15,915

Allied World Assurance Company Holdings, Ltd.

Fixed Income Securities Listing as at September 30, 2009

Security ID	Description	Maturity Date		Par		Book Value $		Fair Value $
3128GY7B4	FHLMC GOLD POOL # E94490		2/1/2018		12,045		12,746		12,823
3128GY7J7	FHLMC GOLD POOL # E94497		2/1/2018		394,344		417,319		419,818
3128GYA53	FHLMC GOLD POOL # E93628		1/1/2018		33,187		35,120		35,341
3128GYB29	FHLMC GOLD POOL # E93657		1/1/2018		16,415		17,371		17,480
3128GYBW3	FHLMC GOLD POOL # E93653		1/1/2018		27,657		29,268		29,451
3128GYCK8	FHLMC GOLD POOL # E93674		1/1/2018		27,930		29,557		29,742
3128GYE91	FHLMC GOLD POOL # E93760		1/1/2018		24,411		25,833		25,996
3128GYEL4	FHLMC GOLD POOL # E93739		1/1/2018		11,099		11,745		11,816
3128GYEN0	FHLMC GOLD POOL # E93741		1/1/2018		6,041		6,393		6,431
3128GYET7	FHLMC GOLD POOL # E93746		1/1/2018		8,110		8,582		8,634
3128GYEU4	FHLMC GOLD POOL # E93747		1/1/2018		12,977		13,733		13,816
3128GYF66	FHLMC GOLD POOL # E93789		1/1/2018		5,837		6,177		6,214
3128GYF90	FHLMC GOLD POOL # E93792		1/1/2018		16,192		17,135		17,243
3128GYFH2	FHLMC GOLD POOL # E93768		1/1/2018		4,858		5,141		5,172
3128GYFK5	FHLMC GOLD POOL # E93770		1/1/2018		975		1,032		1,038
3128GYFN9	FHLMC GOLD POOL # E93773		1/1/2018		16,288		17,237		17,340
3128GYFS8	FHLMC GOLD POOL # E93777		1/1/2018		4,811		5,092		5,122
3128GYG73	FHLMC GOLD POOL # E93822		1/1/2018		35,055		37,097		37,320
3128GYGA6	FHLMC GOLD POOL # E93793		1/1/2018		6,221		6,583		6,624
3128GYGG3	FHLMC GOLD POOL # E93799		1/1/2018		8,341		8,826		8,879
3128GYGV0	FHLMC GOLD POOL # E93812		1/1/2018		10,853		11,486		11,555
3128GYHS6	FHLMC GOLD POOL # E93841		1/1/2018		17,271		18,278		18,392
3128GYHT4	FHLMC GOLD POOL # E93842		1/1/2018		30,784		32,577		32,782
3128GYKK9	FHLMC GOLD POOL # E93898		1/1/2018		3,475		3,677		3,699
3128GYKM5	FHLMC GOLD POOL # E93900		1/1/2018		8,835		9,350		9,406
3128GYLA0	FHLMC GOLD POOL # E93921		1/1/2018		36,984		39,138		39,384
3128GYLX0	FHLMC GOLD POOL # E93942		1/1/2018		4,637		4,907		4,936
3128GYLZ5	FHLMC GOLD POOL # E93944		2/1/2018		18,045		19,096		19,210
3128GYNT7	FHLMC GOLD POOL # E94002		2/1/2018		2,643		2,797		2,814
3128GYPS7	FHLMC GOLD POOL # E94033		2/1/2018		9,306		9,848		9,910
3128GYQC1	FHLMC GOLD POOL # E94051		2/1/2018		24,034		25,434		25,587
3128GYQH0	FHLMC GOLD POOL # E94056		2/1/2018		38,119		40,340		40,582
3128GYQR8	FHLMC GOLD POOL # E94064		1/1/2018		3,672		3,886		3,910
3128GYQV9	FHLMC GOLD POOL # E94068		1/1/2018		30,734		32,525		32,729
3128GYQW7	FHLMC GOLD POOL # E94069		1/1/2018		27,782		29,401		29,585
3128GYRS5	FHLMC GOLD POOL # E94097		2/1/2018		12,909		13,661		13,743
3128GYRU0	FHLMC GOLD POOL # E94099		2/1/2018		14,964		15,835		15,930
3128GYS39	FHLMC GOLD POOL # E94138		1/1/2018		42,147		44,602		44,870
3128GYS88	FHLMC GOLD POOL # E94143		2/1/2018		2,527		2,675		2,691
3128GYSH8	FHLMC GOLD POOL # E94120		1/1/2018		9,184		9,719		9,778
3128GYSJ4	FHLMC GOLD POOL # E94121		1/1/2018		11,901		12,595		12,674
3128GYSS4	FHLMC GOLD POOL # E94129		2/1/2018		6,306		6,673		6,713
3128GYSY1	FHLMC GOLD POOL # E94135		1/1/2018		32,404		34,291		34,497
3128GYT46	FHLMC GOLD POOL # E94171		2/1/2018		147,355		147,858		157,772
3128GYTW4	FHLMC GOLD POOL # E94165		2/1/2018		4,485		4,746		4,775
3128GYTY0	FHLMC GOLD POOL # E94167		2/1/2018		9,377		9,923		9,985
3128GYU44	FHLMC GOLD POOL # E94203		2/1/2018		22,128		23,417		23,557
3128GYU51	FHLMC GOLD POOL # E94204		2/1/2018		22,837		24,167		24,312
3128GYUA0	FHLMC GOLD POOL # E94177		1/1/2018		10,489		11,100		11,170
3128GYUR3	FHLMC GOLD POOL # E94192		2/1/2018		5,901		6,245		6,282
3128GYV35	FHLMC GOLD POOL # E94234		2/1/2018		42,115		44,569		44,848
3128GYVB7	FHLMC GOLD POOL # E94210		2/1/2018		76,561		76,849		82,092
3128GYVC5	FHLMC GOLD POOL # E94211		2/1/2018		66,087		66,319		70,759
3128GYVZ4	FHLMC GOLD POOL # E94232		2/1/2018		30,716		32,505		32,709
3128GYW42	FHLMC GOLD POOL # E94267		2/1/2018		8,103		8,575		8,626
3128GYXN9	FHLMC GOLD POOL # E94285		2/1/2018		144,933		145,438		155,180
3128GYYA6	FHLMC GOLD POOL # E94305		2/1/2018		4,591		4,859		4,888
3128GYYV0	FHLMC GOLD POOL # E94324		2/1/2018		5,065		5,360		5,392
3128GYZ64	FHLMC GOLD POOL # E94365		2/1/2018		17,499		18,518		18,629

Allied World Assurance Company Holdings, Ltd.

Fixed Income Securities Listing as at September 30, 2009

Security ID	Description	Maturity Date		Par		Book Value $		Fair Value $
3128GYZE7	FHLMC GOLD POOL # E94341		2/1/2018		14,401		15,240		15,331
3128H22V4	FHLMC GOLD POOL # E95288		4/1/2018		12,574		13,307		13,386
3128H23F8	FHLMC GOLD POOL # E95298		3/1/2018		37,009		39,166		39,400
3128H24B6	FHLMC GOLD POOL # E95318		4/1/2018		3,903		4,130		4,155
3128H24C4	FHLMC GOLD POOL # E95319		4/1/2018		11,949		12,642		12,706
3128H24E0	FHLMC GOLD POOL # E95321		3/1/2018		36,591		38,723		38,955
3128H24F7	FHLMC GOLD POOL # E95322		3/1/2018		15,307		16,199		16,301
3128H24M2	FHLMC GOLD POOL # E95328		3/1/2018		21,715		22,980		23,118
3128H25H2	FHLMC GOLD POOL # E95348		4/1/2018		9,306		9,848		9,907
3128H25K5	FHLMC GOLD POOL # E95350		4/1/2018		2,826		2,991		3,009
3128H26F5	FHLMC GOLD POOL # E95370		3/1/2018		5,168		5,469		5,502
3128H26M0	FHLMC GOLD POOL # E95376		3/1/2018		1,453,985		1,459,466		1,559,035
3128H26W8	FHLMC GOLD POOL # E95385		2/1/2018		605,692		607,977		649,453
3128H26Z1	FHLMC GOLD POOL # E95388		3/1/2018		62,309		65,940		66,334
3128H27K3	FHLMC GOLD POOL # E95398		4/1/2018		10,681		11,303		11,374
3128H27M9	FHLMC GOLD POOL # E95400		4/1/2018		28,268		29,915		30,102
3128H2B44	FHLMC GOLD POOL # E94559		2/1/2018		2,491		2,636		2,651
3128H2B69	FHLMC GOLD POOL # E94561		2/1/2018		37,576		39,765		40,004
3128H2B77	FHLMC GOLD POOL # E94562		2/1/2018		34,021		36,004		36,219
3128H2B85	FHLMC GOLD POOL # E94563		2/1/2018		26,821		28,384		28,562
3128H2C84	FHLMC GOLD POOL # E94595		2/1/2018		7,179		7,597		7,643
3128H2E41	FHLMC GOLD POOL # E94655		3/1/2018		36,286		38,400		38,630
3128H2ED1	FHLMC GOLD POOL # E94632		2/1/2018		77,312		81,816		82,329
3128H2EG4	FHLMC GOLD POOL # E94635		2/1/2018		44,637		47,238		47,534
3128H2EU3	FHLMC GOLD POOL # E94647		3/1/2018		8,312		8,797		8,849
3128H2GB3	FHLMC GOLD POOL # E94694		2/1/2018		36,900		37,025		39,509
3128H2H30	FHLMC GOLD POOL # E94750		3/1/2018		46,179		48,870		49,163
3128H2JA2	FHLMC GOLD POOL # E94757		3/1/2018		7,290		7,714		7,761
3128H2JR5	FHLMC GOLD POOL # E94772		2/1/2018		31,151		32,966		33,173
3128H2JT1	FHLMC GOLD POOL # E94774		2/1/2018		5,155		5,455		5,489
3128H2K28	FHLMC GOLD POOL # E94813		2/1/2018		12,131		12,838		12,918
3128H2KB8	FHLMC GOLD POOL # E94790		2/1/2018		31,638		33,481		33,691
3128H2KH5	FHLMC GOLD POOL # E94796		3/1/2018		26,560		28,108		28,276
3128H2KP7	FHLMC GOLD POOL # E94802		3/1/2018		9,625		10,186		10,246
3128H2KZ5	FHLMC GOLD POOL # E94812		2/1/2018		18,963		20,068		20,194
3128H2L27	FHLMC GOLD POOL # E94845		3/1/2018		32,350		34,235		34,449
3128H2LC5	FHLMC GOLD POOL # E94823		3/1/2018		37,163		39,328		39,517
3128H2LV3	FHLMC GOLD POOL # E94840		2/1/2018		39,273		41,561		41,821
3128H2LY7	FHLMC GOLD POOL # E94843		3/1/2018		15,269		16,158		16,260
3128H2LZ4	FHLMC GOLD POOL # E94844		3/1/2018		40,734		43,108		43,378
3128H2M26	FHLMC GOLD POOL # E94877		3/1/2018		23,586		24,960		25,116
3128H2MB6	FHLMC GOLD POOL # E94854		3/1/2018		36,688		38,826		39,069
3128H2NY5	FHLMC GOLD POOL # E94907		3/1/2018		32,619		34,520		34,727
3128H2PE7	FHLMC GOLD POOL # E94921		3/1/2018		40,651		43,020		43,289
3128H2PG2	FHLMC GOLD POOL # E94923		3/1/2018		643,722		645,973		689,231
3128H2PP2	FHLMC GOLD POOL # E94930		3/1/2018		30,994		32,800		32,996
3128H2QR7	FHLMC GOLD POOL # E94964		3/1/2018		28,081		29,718		29,895
3128H2QV8	FHLMC GOLD POOL # E94968		3/1/2018		41,406		43,818		44,093
3128H2R21	FHLMC GOLD POOL # E95005		4/1/2018		44,945		47,564		47,862
3128H2RJ4	FHLMC GOLD POOL # E94989		3/1/2018		99,765		105,578		106,210
3128H2RP0	FHLMC GOLD POOL # E94994		3/1/2018		35,283		37,339		37,563
3128H2SJ3	FHLMC GOLD POOL # E95021		3/1/2018		28,639		30,308		30,489
3128H2SX2	FHLMC GOLD POOL # E95034		3/1/2018		11,900		12,593		12,669
3128H2SY0	FHLMC GOLD POOL # E95035		3/1/2018		9,352		9,897		9,959
3128H2SZ7	FHLMC GOLD POOL # E95036		3/1/2018		18,469		19,545		19,668
3128H2T86	FHLMC GOLD POOL # E95075		3/1/2018		5,172		5,473		5,506
3128H2TF0	FHLMC GOLD POOL # E95050		3/1/2018		36,950		39,103		39,337
3128H2TH6	FHLMC GOLD POOL # E95052		3/1/2018		9,426		9,975		10,034
3128H2TJ2	FHLMC GOLD POOL # E95053		3/1/2018		13,890		14,700		14,788

Allied World Assurance Company Holdings, Ltd.

Fixed Income Securities Listing as at September 30, 2009

Security ID	Description	Maturity Date		Par		Book Value $		Fair Value $
3128H2TW3	FHLMC GOLD POOL # E95065		3/1/2018		34,092		36,078		36,304
3128H2TX1	FHLMC GOLD POOL # E95066		3/1/2018		15,228		16,115		16,216
3128H2UB7	FHLMC GOLD POOL # E95078		3/1/2018		22,398		23,703		23,844
3128H2UK7	FHLMC GOLD POOL # E95086		3/1/2018		58,965		59,168		63,134
3128H2VT7	FHLMC GOLD POOL # E95126		3/1/2018		4,849		5,131		5,163
3128H2VW0	FHLMC GOLD POOL # E95129		3/1/2018		50,956		53,925		54,263
3128H2WE9	FHLMC GOLD POOL # E95145		3/1/2018		14,045		14,864		14,953
3128H2WF6	FHLMC GOLD POOL # E95146		3/1/2018		17,447		18,463		18,574
3128H2WM1	FHLMC GOLD POOL # E95152		3/1/2018		15,990		16,922		17,023
3128H2WS8	FHLMC GOLD POOL # E95157		3/1/2018		24,939		26,393		26,550
3128H2WU3	FHLMC GOLD POOL # E95159		3/1/2018		181,324		181,957		194,142
3128H2X32	FHLMC GOLD POOL # E95198		3/1/2018		8,618		9,120		9,175
3128H2XA6	FHLMC GOLD POOL # E95173		3/1/2018		8,138		8,612		8,666
3128H2YM9	FHLMC GOLD POOL # E95216		3/1/2018		13,256		14,028		14,116
3128H2YN7	FHLMC GOLD POOL # E95217		3/1/2018		15,316		16,208		16,305
3128H2YS6	FHLMC GOLD POOL # E95221		3/1/2018		16,338		17,290		17,398
3128H2YW7	FHLMC GOLD POOL # E95225		3/1/2018		9,400		9,948		10,007
3128H2Z30	FHLMC GOLD POOL # E95262		3/1/2018		21,718		22,983		23,121
3128H2ZJ5	FHLMC GOLD POOL # E95245		3/1/2018		10,714		11,338		11,406
3128H2ZT3	FHLMC GOLD POOL # E95254		4/1/2018		18,395		19,467		19,583
3128H2ZU0	FHLMC GOLD POOL # E95255		4/1/2018		26,569		28,117		28,285
3128H32S9	FHLMC GOLD POOL # E96185		5/1/2018		8,774		9,285		9,341
3128H32V2	FHLMC GOLD POOL # E96188		4/1/2018		8,791		9,303		9,361
3128H32W0	FHLMC GOLD POOL # E96189		4/1/2018		20,894		22,112		22,251
3128H33X7	FHLMC GOLD POOL # E96214		5/1/2018		43,649		46,192		46,481
3128H33Z2	FHLMC GOLD POOL # E96216		5/1/2018		11,800		12,488		12,562
3128H3AG6	FHLMC GOLD POOL # E95407		4/1/2018		44,601		47,200		47,496
3128H3AH4	FHLMC GOLD POOL # E95408		4/1/2018		44,845		47,458		47,755
3128H3AY7	FHLMC GOLD POOL # E95423		4/1/2018		36,172		38,280		38,519
3128H3BD2	FHLMC GOLD POOL # E95436		4/1/2018		44,009		46,574		46,852
3128H3BE0	FHLMC GOLD POOL # E95437		4/1/2018		45,150		47,781		48,067
3128H3C25	FHLMC GOLD POOL # E95489		4/1/2018		8,882		9,399		9,455
3128H3CD1	FHLMC GOLD POOL # E95468		4/1/2018		4,977		5,267		5,298
3128H3CN9	FHLMC GOLD POOL # E95477		4/1/2018		12,817		13,564		13,645
3128H3DJ7	FHLMC GOLD POOL # E95505		4/1/2018		29,143		30,841		31,025
3128H3DX6	FHLMC GOLD POOL # E95518		4/1/2018		14,261		15,092		15,183
3128H3EQ0	FHLMC GOLD POOL # E95543		4/1/2018		9,131		9,663		9,724
3128H3EY3	FHLMC GOLD POOL # E95551		4/1/2018		11,580		12,255		12,332
3128H3F48	FHLMC GOLD POOL # E95587		4/1/2018		30,481		32,257		32,450
3128H3F63	FHLMC GOLD POOL # E95589		4/1/2018		22,840		24,171		24,322
3128H3F71	FHLMC GOLD POOL # E95590		4/1/2018		17,389		18,403		18,513
3128H3FG1	FHLMC GOLD POOL # E95567		4/1/2018		24,755		26,198		26,354
3128H3FP1	FHLMC GOLD POOL # E95574		4/1/2018		18,574		19,656		19,774
3128H3GB1	FHLMC GOLD POOL # E95594		4/1/2018		386,931		388,291		414,285
3128H3GE5	FHLMC GOLD POOL # E95597		4/1/2018		17,313		18,322		18,436
3128H3GH8	FHLMC GOLD POOL # E95600		4/1/2018		10,573		11,189		11,259
3128H3GR6	FHLMC GOLD POOL # E95608		4/1/2018		14,454		15,296		15,387
3128H3GY1	FHLMC GOLD POOL # E95615		4/1/2018		14,169		14,995		15,089
3128H3H20	FHLMC GOLD POOL # E95649		4/1/2018		24,821		26,267		26,424
3128H3H87	FHLMC GOLD POOL # E95655		4/1/2018		17,546		18,568		18,679
3128H3HZ7	FHLMC GOLD POOL # E95648		4/1/2018		20,122		21,295		21,422
3128H3JS1	FHLMC GOLD POOL # E95673		4/1/2018		25,043		26,502		26,660
3128H3JT9	FHLMC GOLD POOL # E95674		4/1/2018		37,626		39,819		40,068
3128H3K59	FHLMC GOLD POOL # E95716		5/1/2018		15,432		16,332		16,434
3128H3KA8	FHLMC GOLD POOL # E95689		4/1/2018		19,932		21,093		21,219
3128H3KF7	FHLMC POOL # E95694		4/1/2018		13,934		14,742		14,816
3128H3KL4	FHLMC GOLD POOL # E95699		4/1/2018		43,577		46,117		46,338
3128H3KN0	FHLMC GOLD POOL # E95701		4/1/2018		5,057		5,352		5,384
3128H3L90	FHLMC GOLD POOL # E95752		5/1/2018		36,456		38,580		38,811

Allied World Assurance Company Holdings, Ltd.

Fixed Income Securities Listing as at September 30, 2009

Security ID	Description	Maturity Date		Par		Book Value $		Fair Value $
3128H3LP4	FHLMC GOLD POOL # E95734		3/1/2018		32,209		34,086		34,249
3128H3LR0	FHLMC GOLD POOL # E95736		3/1/2018		11,410		12,074		12,147
3128H3LS8	FHLMC GOLD POOL # E95737		3/1/2018		30,897		32,697		32,902
3128H3MG3	FHLMC GOLD POOL # E95759		4/1/2018		18,116		19,171		19,263
3128H3ML2	FHLMC GOLD POOL # E95763		4/1/2018		7,322		7,748		7,795
3128H3MN8	FHLMC GOLD POOL # E95765		4/1/2018		44,198		46,774		47,067
3128H3N56	FHLMC GOLD POOL # E95812		4/1/2018		10,263		10,861		10,913
3128H3N72	FHLMC GOLD POOL # E95814		4/1/2018		12,592		13,326		13,409
3128H3NC1	FHLMC GOLD POOL # E95787		4/1/2018		17,590		18,615		18,727
3128H3NR8	FHLMC GOLD POOL # E95800		4/1/2018		15,939		16,867		16,968
3128H3NW7	FHLMC GOLD POOL # E95805		4/1/2018		7,118		7,533		7,578
3128H3PT2	FHLMC GOLD POOL # E95834		5/1/2018		7,573		8,014		8,053
3128H3Q87	FHLMC GOLD POOL # E95879		4/1/2018		34,858		36,889		37,109
3128H3QJ3	FHLMC GOLD POOL # E95857		4/1/2018		12,600		13,334		13,414
3128H3QL8	FHLMC GOLD POOL # E95859		4/1/2018		155,553		156,105		166,550
3128H3QM6	FHLMC GOLD POOL # E95860		4/1/2018		10,993		11,633		11,703
3128H3R29	FHLMC GOLD POOL # E95905		4/1/2018		9,824		10,396		10,446
3128H3RY9	FHLMC GOLD POOL # E95903		5/1/2018		44,700		47,305		47,588
3128H3S36	FHLMC GOLD POOL # E95938		4/1/2018		13,856		14,664		14,756
3128H3SB8	FHLMC GOLD POOL # E95914		5/1/2018		28,784		30,462		30,608
3128H3SZ5	FHLMC GOLD POOL # E95936		5/1/2018		23,492		24,861		25,017
3128H3UA7	FHLMC GOLD POOL # E95977		5/1/2018		2,904		3,073		3,091
3128H3V65	FHLMC GOLD POOL # E96037		5/1/2018		8,386		8,874		8,930
3128H3WF4	FHLMC GOLD POOL # E96046		4/1/2018		18,469		19,545		19,668
3128H3XU0	FHLMC GOLD POOL # E96091		5/1/2018		18,553		19,634		19,757
3128H3XW6	FHLMC GOLD POOL # E96093		5/1/2018		19,606		20,748		20,878
3128H3YG0	FHLMC GOLD POOL # E96111		4/1/2018		6,577		6,960		7,002
3128H3YJ4	FHLMC GOLD POOL # E96113		5/1/2018		16,251		17,198		17,301
3128H45V7	FHLMC GOLD POOL # E97160		6/1/2018		26,392		27,930		28,097
3128H4AZ2	FHLMC GOLD POOL # E96324		5/1/2018		12,378		13,100		13,162
3128H4BS7	FHLMC GOLD POOL # E96349		5/1/2018		41,498		43,916		44,178
3128H4CF4	FHLMC GOLD POOL # E96370		5/1/2018		8,293		8,776		8,818
3128H4CH0	FHLMC GOLD POOL # E96372		5/1/2018		35,037		37,079		37,257
3128H4DB2	FHLMC GOLD POOL # E96398		5/1/2018		70,826		71,076		75,833
3128H4ES4	FHLMC GOLD POOL # E96445		6/1/2018		15,147		16,030		16,126
3128H4HQ5	FHLMC GOLD POOL # E96539		5/1/2018		73,418		77,696		78,182
3128H4HS1	FHLMC GOLD POOL # E96541		5/1/2018		77,663		82,188		82,703
3128H4J59	FHLMC GOLD POOL # E96584		6/1/2018		17,222		18,226		18,335
3128H4JG5	FHLMC GOLD POOL # E96563		5/1/2018		18,290		19,356		19,472
3128H4JT7	FHLMC GOLD POOL # E96574		6/1/2018		37,600		39,792		40,029
3128H4KQ1	FHLMC GOLD POOL # E96603		6/1/2018		29,036		30,728		30,912
3128H4ST7	FHLMC GOLD POOL # E96830		6/1/2018		42,547		45,026		45,295
3128H5JX5	FHLMC GOLD POOL # E97478		7/1/2018		30,574		32,356		32,549
3128H5RP3	FHLMC GOLD POOL # E97694		7/1/2018		17,687		18,718		18,830
3128H5TK2	FHLMC GOLD POOL # E97754		7/1/2018		47,574		50,347		50,647
3128H5VJ2	FHLMC GOLD POOL # E97817		7/1/2018		43,307		43,456		46,368
3128H62N3	FHLMC GOLD POOL # E98881		9/1/2018		35,945		38,041		38,267
3128H6BG8	FHLMC GOLD POOL # E98139		7/1/2018		36,647		38,783		39,015
3128H6CZ5	FHLMC GOLD POOL # E98188		7/1/2018		39,276		41,565		41,813
3128H6FR0	FHLMC GOLD POOL # E98276		8/1/2018		26,777		28,338		28,507
3128H6FU3	FHLMC GOLD POOL # E98279		8/1/2018		19,577		20,718		20,842
3128H6SY1	FHLMC GOLD POOL # E98635		8/1/2018		1,836,051		1,842,440		1,965,851
3128H6WU4	FHLMC GOLD POOL # E98759		8/1/2018		360,971		362,222		386,490
3128H6XM1	FHLMC GOLD POOL # E98784		8/1/2018		10,930		11,567		11,636
3128H6ZC1	FHLMC GOLD POOL # E98839		7/1/2018		150,347		150,903		160,976
3128H77K2	FHLMC GOLD POOL # E99898		10/1/2018		228,741		229,582		244,912
3128H7PN6	FHLMC GOLD POOL # E99429		9/1/2013		3,066,797		2,996,106		3,193,238
3128H7QL9	FHLMC GOLD POOL # E99459		9/1/2018		1,110,473		1,114,408		1,188,978
3128H7R95	FHLMC GOLD POOL # E99512		9/1/2018		958,920		962,400		1,026,711

Allied World Assurance Company Holdings, Ltd.

Fixed Income Securities Listing as at September 30, 2009

Security ID	Description	Maturity Date		Par		Book Value $		Fair Value $
3128H7YH9	FHLMC GOLD POOL # E99712		10/1/2018		169,727		170,351		181,726
3128JLDM8	FHLMC POOL # 1B1107		9/1/2033		3,535,641		3,477,723		3,635,302
3128JLEY1	FHLMC POOL # 1B1150		9/1/2033		6,201,704		6,100,459		6,378,625
3128JLHB8	FHLMC POOL # 1B1225		9/1/2033		967,550		952,480		1,006,447
3128JM6N2	FHLMC POOL # 1B2776		2/1/2035		3,504,529		3,463,785		3,601,877
3128JM7E1	FHLMC POOL # 1B2792		2/1/2035		2,437,593		2,409,361		2,505,644
3128JMW45	FHLMC POOL # 1B2566		11/1/2034		1,219,506		1,208,850		1,242,499
3128JMY68	FHLMC POOL # 1B2632		11/1/2034		1,641,415		1,626,948		1,686,689
3128JMZG5	FHLMC POOL # 1B2642		11/1/2034		2,355,788		2,335,337		2,413,202
3128JNAL9	FHLMC POOL # 1B2810		2/1/2035		2,698,710		2,667,276		2,757,735
3128JRKQ8	FHLMC POOL # 847503		12/1/2035		686,578		670,859		710,160
3128JRP26	FHLMC POOL # 847641		12/1/2033		2,651,169		2,630,067		2,736,455
3128K17K1	FHLMC GOLD POOL # A41798		1/1/2036		8,185,183		8,366,978		8,487,216
3128KA4Z1	FHLMC GOLD POOL # A49840		6/1/2036		98,117		103,034		103,857
3128KE5H2	FHLMC GOLD POOL # A52648		9/1/2036		251,180		254,400		267,883
3128KVAR6	FHLMC GOLD POOL # A64516		8/1/2037		289,507		293,222		308,990
3128KWBZ5	FHLMC GOLD POOL # A65456		9/1/2037		29,714		30,857		31,690
3128KWFX6	FHLMC GOLD POOL # A65582		9/1/2037		55,496		57,628		59,185
3128KWFY4	FHLMC GOLD POOL # A65583		9/1/2037		71,054		73,785		75,777
3128KWGT4	FHLMC GOLD POOL # A65610		9/1/2037		72,112		75,612		76,467
3128KWSM6	FHLMC GOLD POOL # A65924		9/1/2037		425,029		445,622		450,694
3128KWT29	FHLMC GOLD POOL # A65969		9/1/2037		38,346		39,820		40,895
3128KWTK9	FHLMC GOLD POOL # A65954		9/1/2037		63,789		66,240		68,030
3128KWTP8	FHLMC GOLD POOL # A65958		9/1/2037		55,336		57,462		59,015
3128KWTZ6	FHLMC GOLD POOL # A65968		9/1/2037		40,753		42,319		43,462
3128KYXE4	FHLMC GOLD POOL # A67877		4/1/2037		27,628		28,690		29,465
3128L0RC8	FHLMC GOLD POOL # A68583		11/1/2037		55,294		57,973		58,490
3128L53D1	FHLMC GOLD POOL # A72596		2/1/2038		1,525,702		1,599,834		1,613,887
3128M4XA6	FHLMC GOLD POOL # G03073		7/1/2037		5,186,874		5,208,218		5,452,798
3128M4ZG1	FHLMC GOLD POOL # G03143		7/1/2037		5,106		5,302		5,445
3128M5GR5	FHLMC GOLD POOL # G03508		7/1/2037		2,293,238		2,403,946		2,431,715
3128M6R83	FHLMC GOLD POOL # G04711		9/1/2038		119,104		124,883		125,857
3128M6UB2	FHLMC GOLD POOL # G04778		7/1/2038		126,822		131,704		135,253
3128M7AZ9	FHLMC GOLD POOL # G05124		12/1/2038		367,803		381,954		392,254
3128M7PN0	FHLMC GOLD POOL # G05529		7/1/2039		1,557,896		1,605,028		1,612,111
3128MMAC7	FHLMC GOLD POOL # G18002		7/1/2019		1,202,076		1,182,564		1,274,663
3128MMLD3	FHLMC GOLD POOL # G18323		9/1/2024		4,500,000		4,608,507		4,663,551
3128NCBF0	FHLMC POOL # 1G0038		1/1/2035		2,875,767		2,847,417		2,950,102
3128NCBH6	FHLMC POOL # 1G0040		1/1/2035		877,020		861,079		887,986
3128NCBW3	FHLMC POOL # 1G0053		2/1/2035		3,302,060		3,264,419		3,384,001
3128NCDH4	FHLMC POOL # 1G0104		2/1/2035		1,448,367		1,433,742		1,482,163
3128QLP54	FHLMC POOL # 1H2544		11/1/2035		20,826,807		20,430,971		21,601,725
3128QLPD7	FHLMC POOL # 1H2520		6/1/2035		32,214,703		31,881,545		33,053,654
3128S4E52	FHLMC POOL # 1Q0156		10/1/2035		10,509,723		10,408,594		10,949,019
3128X9AM2	FHLMC AGENCY BND		8/24/2012		10,000,000		9,954,086		10,052,800
3129275R3	FHLMC GOLD POOL # A81756		9/1/2038		296,516		310,932		313,328
312929CM2	FHLMC GOLD POOL # A82776		1/1/2039		13,175		13,681		14,051
31292KJH1	FHLMC GOLD POOL # C02964		7/1/2037		2,729		2,833		2,910
31292KX93	FHLMC GOLD POOL # C03404		9/1/2039		6,000,000		6,056,116		6,078,000
312930LH1	FHLMC GOLD POOL # A83928		1/1/2039		47,900		49,741		51,085
312930LQ1	FHLMC GOLD POOL # A83935		1/1/2039		50,557		52,501		53,918
312930RC6	FHLMC GOLD POOL # A84083		1/1/2039		32,577		33,833		34,421
312930RV4	FHLMC GOLD POOL # A84100		1/1/2039		18,684		19,403		19,926
312930TB6	FHLMC GOLD POOL # A84146		1/1/2039		15,274		15,863		16,139
312930XY1	FHLMC GOLD POOL # A84295		2/1/2039		2,048,923		2,073,437		2,075,336
312931D62	FHLMC GOLD POOL # A84625		2/1/2039		4,887,603		4,777,153		4,840,853
312931TJ7	FHLMC GOLD POOL # A85053		3/1/2039		4,811,560		4,918,971		4,978,521
3129326W1	FHLMC GOLD POOL # A86285		5/1/2039		41,546		42,881		42,988
312932CX2	FHLMC GOLD POOL # A85486		4/1/2039		3,933,900		4,000,716		3,985,355

Allied World Assurance Company Holdings, Ltd.

Fixed Income Securities Listing as at September 30, 2009

Security ID	Description	Maturity Date		Par		Book Value $		Fair Value $
312932XE1	FHLMC GOLD POOL # A86077		5/1/2039		42,937		44,316		44,427
312932ZE9	FHLMC GOLD POOL # A86141		5/1/2039		108,075		111,546		111,825
312933E83	FHLMC GOLD POOL # A86459		5/1/2039		35,908		37,061		37,153
312933F41	FHLMC GOLD POOL # A86487		6/1/2039		5,423,635		5,410,941		5,494,143
312933F66	FHLMC GOLD POOL # A86489		6/1/2039		40,386		41,683		41,787
312933T79	FHLMC GOLD POOL # A86874		6/1/2039		1,276,985		1,301,712		1,321,296
312933UD4	FHLMC GOLD POOL # A86880		6/1/2039		295,121		300,627		305,321
312933VG6	FHLMC GOLD POOL # A86915		6/1/2039		990,147		1,008,661		1,023,858
312933WK6	FHLMC GOLD POOL # A86950		6/1/2039		1,383,764		1,409,386		1,431,781
312933WR1	FHLMC GOLD POOL # A86956		6/1/2039		15,848,237		16,105,152		16,395,992
3129345K4	FHLMC GOLD POOL # A88050		8/1/2039		199,277		205,306		206,192
312934JJ2	FHLMC GOLD POOL # A87465		7/1/2039		89,529		92,405		92,635
312934MM1	FHLMC GOLD POOL # A87564		7/1/2039		79,642		82,200		82,406
312934PJ5	FHLMC GOLD POOL # A87625		8/1/2039		105,950		109,353		109,626
312934R38	FHLMC GOLD POOL # A87706		8/1/2039		89,596		92,474		92,705
312934WP3	FHLMC GOLD POOL # A87854		8/1/2039		80,913		83,361		83,720
312934Z47	FHLMC GOLD POOL # A87963		8/1/2039		64,420		66,490		66,656
3129353B3	FHLMC GOLD POOL # A88894		9/1/2039		800,000		806,858		810,400
3129356Q7	FHLMC GOLD POOL # A88979		9/1/2039		200,000		201,715		202,600
312935AT6	FHLMC GOLD POOL # A88118		8/1/2039		223,728		230,497		231,492
312935JT7	FHLMC GOLD POOL # A88374		9/1/2039		299,721		302,734		303,617
312935KN8	FHLMC GOLD POOL # A88401		9/1/2039		129,798		133,725		134,302
312935KY4	FHLMC GOLD POOL # A88411		9/1/2039		299,802		302,816		303,700
312935LV9	FHLMC GOLD POOL # A88440		9/1/2039		199,804		201,813		202,401
312935MQ9	FHLMC GOLD POOL # A88467		9/1/2039		1,000,000		1,011,497		1,013,063
312935MV8	FHLMC GOLD POOL # A88472		9/1/2039		2,000,000		2,020,888		2,026,000
31294KDZ5	FHLMC GOLD POOL # E01020		9/1/2016		2,856		3,023		3,042
31294KFJ9	FHLMC GOLD POOL # E01069		11/1/2016		4,638		4,908		4,929
31294KHD0	FHLMC GOLD POOL # E01128		2/1/2017		10,122		10,711		10,756
31294KHL2	FHLMC GOLD POOL # E01135		3/1/2017		19,330		20,455		20,585
31294KJT3	FHLMC GOLD POOL # E01174		5/1/2017		7,068		7,480		7,527
31294KKU8	FHLMC GOLD POOL # E01207		9/1/2017		11,316		11,972		12,025
31294KN43	FHLMC GOLD POOL # E01311		2/1/2018		1,928,439		1,935,181		2,064,771
31294KNY7	FHLMC GOLD POOL # E01307		2/1/2018		103,340		109,361		109,887
31294KP25	FHLMC GOLD POOL # E01341		3/1/2018		2,741,688		2,751,302		2,935,513
31294KQ73	FHLMC GOLD POOL # E01378		5/1/2018		218,906		231,603		232,774
31294KUR4	FHLMC GOLD POOL # E01492		10/1/2018		1,275,203		1,279,846		1,365,354
31294KUT0	FHLMC GOLD POOL # E01494		9/1/2018		10,856,336		10,895,401		11,623,829
3129624Q3	FHLMC GOLD POOL # B10831		11/1/2018		157,752		158,308		168,904
3129624X8	FHLMC GOLD POOL # B10838		11/1/2018		11,060		11,705		11,761
312962BY8	FHLMC GOLD POOL # B10055		10/1/2018		34,153		36,144		36,316
312962CK7	FHLMC GOLD POOL # B10074		10/1/2018		13,776		14,580		14,666
312962CQ4	FHLMC GOLD POOL # B10079		8/1/2018		16,712		17,687		17,797
312962CT8	FHLMC GOLD POOL # B10082		8/1/2018		3,148		3,331		3,352
312962DE0	FHLMC GOLD POOL # B10101		10/1/2018		14,501		15,346		15,438
312962EY5	FHLMC GOLD POOL # B10151		10/1/2018		28,847		30,529		30,674
312962FM0	FHLMC GOLD POOL # B10172		10/1/2018		22,124		23,414		23,553
312962FN8	FHLMC GOLD POOL # B10173		10/1/2018		12,164		12,873		12,949
312962FW8	FHLMC GOLD POOL # B10181		10/1/2018		35,632		37,710		37,934
312962J53	FHLMC GOLD POOL # B10284		10/1/2018		1,364,342		1,369,348		1,460,794
312962JW4	FHLMC GOLD POOL # B10277		11/1/2018		33,931		35,910		36,123
312962KD4	FHLMC GOLD POOL # B10292		10/1/2018		159,728		160,307		171,020
312962KP7	FHLMC GOLD POOL # B10302		10/1/2018		24,641		26,078		26,233
312962KT9	FHLMC GOLD POOL # B10306		10/1/2018		23,115		24,463		24,609
312962MD2	FHLMC GOLD POOL # B10356		11/1/2018		44,753		47,362		47,644
312962MT7	FHLMC GOLD POOL # B10370		11/1/2018		24,422		25,846		26,000
312962MV2	FHLMC GOLD POOL # B10372		11/1/2018		21,057		22,285		22,417
312962NJ8	FHLMC GOLD POOL # B10393		10/1/2018		35,425		37,490		37,714
312962Q63	FHLMC GOLD POOL # B10477		10/1/2018		25,235		25,325		27,018

Allied World Assurance Company Holdings, Ltd.

Fixed Income Securities Listing as at September 30, 2009

Security ID	Description	Maturity Date		Par		Book Value $		Fair Value $
312962T86	FHLMC GOLD POOL # B10575		11/1/2018		21,501		22,754		22,890
312962TL7	FHLMC GOLD POOL # B10555		11/1/2018		30,217		31,979		32,169
312962UJ0	FHLMC GOLD POOL # B10585		11/1/2018		14,592		15,442		15,534
312962UW1	FHLMC GOLD POOL # B10597		11/1/2018		2,166,175		2,174,099		2,319,314
312962WC3	FHLMC GOLD POOL # B10643		11/1/2018		28,103		29,741		29,883
312963BP5	FHLMC GOLD POOL # B10946		12/1/2018		126,133		126,599		135,050
312963CK5	FHLMC GOLD POOL # B10974		11/1/2018		23,964		25,361		25,482
312963G70	FHLMC GOLD POOL # B11122		11/1/2018		751,224		753,905		804,332
312963L66	FHLMC GOLD POOL # B11249		12/1/2018		11,463		12,131		12,203
312963L74	FHLMC GOLD POOL # B11250		11/1/2018		50,296		50,483		53,852
312963LA7	FHLMC GOLD POOL # B11221		12/1/2018		19,274		20,398		20,519
312963MS7	FHLMC GOLD POOL # B11269		12/1/2018		36,390		38,512		38,695
312963RG8	FHLMC GOLD POOL # B11387		12/1/2018		41,304		43,712		43,920
312963RR4	FHLMC GOLD POOL # B11396		12/1/2018		30,227		31,990		32,180
312963UB5	FHLMC GOLD POOL # B11478		12/1/2018		17,916		18,961		19,074
312963V40	FHLMC GOLD POOL # B11535		1/1/2019		24,554		25,985		26,109
312963VY4	FHLMC GOLD POOL # B11531		12/1/2018		279,251		280,280		298,993
312963WH0	FHLMC GOLD POOL # B11548		12/1/2018		31,879		31,996		34,133
312963XT3	FHLMC GOLD POOL # B11590		12/1/2018		6,488		6,866		6,899
312963Z53	FHLMC GOLD POOL # B11664		1/1/2019		16,487		17,448		17,552
312963ZG9	FHLMC GOLD POOL # B11643		11/1/2018		146,024		146,547		156,347
3129642B4	FHLMC GOLD POOL # B12570		3/1/2019		363,581		364,557		387,746
312964AU3	FHLMC GOLD POOL # B11819		1/1/2019		13,773		14,576		14,645
312964CQ0	FHLMC GOLD POOL # B11879		1/1/2019		13,051		13,812		13,894
312964EJ4	FHLMC GOLD POOL # B11937		1/1/2019		14,963		15,835		15,911
312964EK1	FHLMC GOLD POOL # B11938		1/1/2019		30,545		32,326		32,480
312964FV6	FHLMC GOLD POOL # B11980		1/1/2019		16,272		17,221		17,254
312964GZ6	FHLMC GOLD POOL # B12016		2/1/2019		13,023		13,782		13,822
312964KG3	FHLMC GOLD POOL # B12095		2/1/2019		12,260		12,975		13,052
312964QW2	FHLMC GOLD POOL # B12269		2/1/2019		490,031		491,775		524,674
312964RW1	FHLMC GOLD POOL # B12301		2/1/2014		1,456,971		1,399,681		1,494,722
312964WX3	FHLMC GOLD POOL # B12462		10/1/2018		636,818		639,126		681,838
312965A71	FHLMC GOLD POOL # B12730		3/1/2014		2,602,857		2,538,618		2,670,300
312965CF1	FHLMC GOLD POOL # B12770		1/1/2019		12,956		13,712		13,797
312965CH7	FHLMC GOLD POOL # B12772		3/1/2014		2,661,561		2,556,727		2,730,525
312965DX1	FHLMC GOLD POOL # B12818		3/1/2014		2,018,766		1,939,137		2,071,074
312965DY9	FHLMC GOLD POOL # B12819		3/1/2014		2,413,119		2,353,424		2,475,645
312965FY7	FHLMC GOLD POOL # B12883		3/1/2014		2,186,732		2,099,842		2,243,392
312965GT7	FHLMC GOLD POOL # B12910		3/1/2014		1,650,620		1,585,203		1,693,389
312965GU4	FHLMC GOLD POOL # B12911		3/1/2014		1,855,516		1,782,414		1,903,595
312965HK5	FHLMC GOLD POOL # B12934		3/1/2019		32,916		34,836		34,904
312965MP8	FHLMC GOLD POOL # B13066		3/1/2014		8,395,586		8,187,694		8,613,124
312965QA7	FHLMC GOLD POOL # B13149		11/1/2018		384,974		386,326		412,189
312965WC6	FHLMC GOLD POOL # B13343		4/1/2014		1,151,454		1,105,434		1,181,289
312965WD4	FHLMC GOLD POOL # B13344		4/1/2014		1,542,070		1,480,607		1,582,026
312965WU6	FHLMC GOLD POOL # B13359		4/1/2014		1,393,769		1,338,304		1,429,883
312965WV4	FHLMC GOLD POOL # B13360		4/1/2014		2,019,351		1,938,927		2,071,674
312966WU4	FHLMC GOLD POOL # B14259		5/1/2019		1,734,697		1,739,192		1,849,992
312967MC3	FHLMC GOLD POOL # B14855		6/1/2014		2,130,342		2,095,630		2,240,952
312967MH2	FHLMC GOLD POOL # B14860		5/1/2014		3,879,635		3,797,940		3,980,160
312968QL7	FHLMC GOLD POOL # B15859		12/1/2018		3,128,963		3,141,183		3,355,030
3129696M5	FHLMC GOLD POOL # B17176		11/1/2014		4,587,503		4,497,807		4,706,370
312969VY1	FHLMC GOLD POOL # B16931		10/1/2014		8,044,490		7,916,140		8,462,171
3129714D3	FHLMC GOLD POOL # B18920		3/1/2015		5,990,208		5,870,392		6,101,305
31331S4Z3	FEDERAL FARM CREDIT BANK AGENCY BND		8/8/2011		1,600,000		1,601,291		1,698,880
31331SH97	FEDERAL FARM CREDIT BANK AGENCY BND		4/24/2012		1,000,000		1,001,405		1,069,380
31331SP56	FFCB AGENCY BND		7/13/2012		17,475,000		17,537,395		18,733,200
31331ST29	FEDERAL FARM CREDIT BANK AGENCY BND		4/25/2012		1,400,000		1,395,218		1,499,120
31331VPV2	FFCB AGENCY BND		4/1/2016		2,975,000		2,958,325		3,231,743

Allied World Assurance Company Holdings, Ltd.

Fixed Income Securities Listing as at September 30, 2009

Security ID	Description	Maturity Date		Par		Book Value $		Fair Value $
31331XU75	FFCB AGENCY BND		8/13/2014		5,000,000		5,017,009		5,531,500
31331Y4P2	FFCB AGENCY BND		11/6/2017		11,435,000		11,459,080		12,435,563
31331YEJ5	FFCB AGENCY BND		11/15/2018		28,115,000		28,698,968		30,018,386
31335H2K8	FHLMC GOLD POOL # C90778		11/1/2023		3,106,406		2,968,724		3,205,811
3133MB2B2	FHLB AGENCY BND		2/13/2015		1,800,000		2,045,913		2,212,200
3133X85H1	FHLB AGENCY BND		8/10/2010		1,000,000		996,757		1,033,300
3133XBB20	FHLB AGENCY BND		3/17/2010		250,000		251,389		254,823
3133XBMT9	FHLB AGENCY BND		11/14/2014		43,345,000		42,870,603		46,882,390
3133XBT39	FHLB AGENCY BND		6/8/2012		40,000,000		40,215,685		42,595,996
3133XCZJ5	FHLB AGENCY BND		8/26/2013		1,000,000		1,002,825		1,088,500
3133XLWM1	FHLB AGENCY BND		9/12/2014		15,415,000		15,745,647		17,181,405
3133XUE41	FHLB AGENCY BND		8/22/2012		5,000,000		4,993,499		5,022,550
31342A6F1	FHLMC POOL # 780870		9/1/2033		5,391,886		5,308,043		5,488,063
31349UCW6	FHLMC POOL # 782785		10/1/2034		2,741,038		2,716,485		2,807,962
31349UEJ3	FHLMC POOL # 782837		11/1/2034		4,660,231		4,602,413		4,734,067
31349UJM1	FHLMC POOL # 782968		1/1/2035		2,898,629		2,859,570		2,948,503
31349ULB2	FHLMC POOL # 783022		2/1/2035		5,282,611		5,231,496		5,408,338
31349ULF3	FHLMC POOL # 783026		2/1/2035		3,191,113		3,153,811		3,266,735
31349UMF2	FHLMC POOL # 783058		3/1/2035		9,480,119		9,383,920		9,657,087
3134A35H5	FHLMC AGENCY BND		9/15/2010		721,000		734,823		764,757
3134A4DY7	FHLMC AGENCY NT		3/15/2011		30,000,000		30,565,702		32,114,400
3134A4QD9	FHLMC AGENCY BND		7/15/2012		45,300,000		45,708,772		49,737,135
3134A4UW2	FHLMC AGENCY BND		12/15/2009		100,000		100,132		100,759
31359MFG3	FNMA AGENCY BND		1/15/2010		250,000		251,713		255,133
31368HL43	FNMA POOL # 190347		1/1/2034		20,259		20,704		21,012
31368HLV3	FNMA POOL # 190340		9/1/2033		15,131		15,464		15,694
31371KBQ3	FNMA POOL # 253947		8/1/2031		18,285		18,962		19,930
31371LZJ1	FNMA POOL # 255545		1/1/2015		4,377,485		4,246,647		4,468,099
31371MFY8	FNMA POOL # 255883		8/1/2035		12,316,399		12,059,993		12,740,882
31371QU71	FNMA POOL # 259006		3/1/2030		68,062		70,549		74,313
31375BUQ8	FNMA POOL # 330091		2/1/2023		146,692		152,072		160,159
31375KSE8	FNMA POOL # 337217		12/1/2024		55,923		58,401		61,446
31376CTB0	FNMA POOL # 351646		12/1/2024		11,285		11,706		12,321
31376KKG0	FNMA POOL # 357695		1/1/2020		944		918		993
31376KKK1	FNMA POOL # 357698		1/1/2015		1,978,232		1,940,228		2,038,963
31376KQB5	FNMA POOL # 357850		7/1/2035		183,888		190,299		193,319
31377XSA6	FNMA POOL # 390313		6/1/2027		90,675		94,183		99,062
31379T6G4	FNMA POOL # 429371		2/1/2014		47,732		47,395		49,617
3137EAAD1	FHLMC AGENCY BND		4/18/2016		50,000,000		51,711,932		55,984,500
3137EACC1	FHLMC AGENCY BND		6/15/2012		44,400,000		44,272,760		44,656,632
3137EACE7	FHLMC AGENCY BND		9/21/2012		15,000,000		14,979,398		15,198,600
31382FVJ5	FNMA POOL # 481317		1/1/2029		3,358		3,475		3,514
31382G3H8	FNMA POOL # 482400		1/1/2029		2,850		2,949		3,013
31382NR20	FNMA POOL # 487505		4/1/2029		1,065		1,095		1,115
31382T4R7	FNMA POOL # 492332		4/1/2029		6,931		7,173		7,253
31382WLV2	FNMA POOL # 494540		3/1/2029		2,650		2,742		2,799
31384VP63	FNMA POOL # 535145		2/1/2030		880,991		913,416		960,280
31384VP97	FNMA POOL # 535148		2/1/2030		208,201		215,890		226,940
31384VUE0	FNMA POOL # 535281		4/1/2030		1,085,879		1,125,998		1,183,608
31384WLB4	FNMA POOL # 535922		3/1/2031		59,864		62,066		65,363
31384WVT4	FNMA POOL # 536226		5/1/2030		41,666		43,201		45,493
31384Y2A3	FNMA POOL # 538169		4/1/2030		67,939		70,435		74,178
31385FVZ6	FNMA POOL # 543432		6/1/2030		141,271		146,474		154,246
31385GZH0	FNMA POOL # 544444		9/1/2030		538		558		587
31385QRZ7	FNMA POOL # 549604		8/1/2030		5,599		5,805		6,113
31385RB58	FNMA POOL # 550060		4/1/2030		1,626,727		1,711,259		1,789,400
31385VYT2	FNMA POOL # 554322		9/1/2030		71,919		74,562		78,524
31385W6Z7	FNMA POOL # 555388		3/1/2018		1,459,842		1,437,348		1,564,984
31385XEW3	FNMA POOL # 555549		6/1/2018		571,388		567,019		606,904

Allied World Assurance Company Holdings, Ltd.

Fixed Income Securities Listing as at September 30, 2009

Security ID	Description	Maturity Date		Par		Book Value $		Fair Value $
31385XJY4	FNMA POOL # 555679		8/1/2033		61,321		62,667		63,600
31385XK48	FNMA POOL # 555715		7/1/2033		1,543,460		1,528,570		1,579,404
31385XKD8	FNMA POOL # 555692		7/1/2033		33,665		34,840		35,383
31386XQU3	FNMA POOL # 576567		2/1/2031		2,365,979		2,452,236		2,583,280
31387EBE6	FNMA POOL # 581537		6/1/2031		79,588		82,529		86,751
31388DTM0	FNMA POOL # 601856		1/1/2031		34,236		35,581		37,403
31388HTX7	FNMA POOL # 605466		8/1/2031		23,009		23,866		25,079
31388UJF8	FNMA POOL # 615062		1/1/2017		2,008,031		1,977,950		2,152,655
31388XVV3	FNMA POOL # 618128		8/1/2033		8,123,945		7,942,460		8,187,512
31389EU78	FNMA POOL # 623506		12/1/2011		498,883		500,284		529,415
31389EVA0	FNMA POOL # 623509		12/1/2016		3,118,265		3,142,570		3,324,694
31389EVB8	FNMA POOL # 623510		12/1/2016		3,256,869		3,280,813		3,472,473
31389FPM8	FNMA POOL # 624228		1/1/2017		1,303,695		1,284,127		1,397,591
31389FQ62	FNMA POOL # 624277		1/1/2017		905,651		892,072		970,878
31389XHM8	FNMA POOL # 638436		3/1/2012		423,993		428,688		454,719
31391AKC2	FNMA POOL # 660991		7/1/2032		8,818		9,145		9,611
31391PTM8	FNMA POOL # 672956		12/1/2017		22,201,092		22,213,845		23,456,058
31391PUF1	FNMA POOL # 672982		12/1/2017		588,087		583,604		625,136
31391YV87	FNMA POOL # 681139		1/1/2033		5,264		5,551		5,599
31392JTP4	FNMA AGENCY CMO03-20 HP		10/25/2016		112,168		111,560		114,681
31393DL74	FNMA CMO AGENCY CMO03-80 CA		4/25/2030		527,989		516,885		537,915
31393EFX2	FNMA CMO AGENCY CMO 03-79 NL		5/25/2022		1,241,888		1,253,462		1,270,049
31393KLM5	FHLMC AGENCY CMO 2570 CL		7/15/2017		725,947		716,374		744,879
31393M5X5	FHLMC CMO AGENCY CMO 2580		12/15/2016		1,451,852		49,146		41,378
31393QVD1	FHLMC AGENCY CMO 2618 NE		6/15/2013		581,131		578,743		595,543
31393VPH8	FHLMC2627 CMO 2628-OD		7/15/2017		31,560,900		31,021,774		33,142,101
31394EK49	FNMA05-58 AGENCY CMO 05-69		8/25/2035		124,727		—		37
31395RAR9	FHLMC AGENCY CMO R001 AE		4/15/2015		1,221,504		1,212,895		1,252,798
31396A7E8	FHLMC3035 CMO AGENCY 3038 XA		9/15/2035		789,091		787,207		719,178
31396AFE9	FHLMC3035 AGENCY CMO 3028		12/15/2026		7,641,864		7,636,398		7,854,308
31396KS45	FNMA06-65 CMO AGENCY 6-81 LF1		9/25/2036		363,110		376,141		360,278
31396NAL0	FHLMC AGENCY CMO 3138 X		4/15/2036		532,042		544,415		510,175
31396TYH0	FHLMC AGENCY CMO 3167 X		6/15/2036		734,677		727,096		710,874
31396VDA3	FNMA07-41 CMO 7-27 XA		5/25/2035		330,414		326,338		315,480
31396VV21	FNMA07-41 AGENCY CMO 07-42 LF		5/25/2037		523,528		579,671		482,326
31396WBP0	FNR CMO 07-56 FA		6/25/2037		17,011,897		16,328,324		16,559,381
31396WCB0	FNMA07-53 AGENCY CMO 07-56 GY		6/25/2037		63,850		62,732		60,364
31396WDG8	FNMA07-53 AGENCY CMO 07-53 UF		6/25/2037		527,979		581,060		477,187
31397F7E6	FHLMC AGENCY CMO 3274 SX		7/15/2036		269,743		278,698		254,287
31397FES7	FHLMC3271 AGENCY CMO 3275 UF		2/15/2037		476,955		551,528		468,418
31397FYK2	FHLMC AGENCY CMO 3291 XA		3/15/2037		489,941		503,947		481,416
31397KTK7	FHR CMO 3380 FP		11/15/2036		32,462,594		31,644,048		31,810,096
31398AYM8	FNMA AGENCY BND		8/10/2012		3,700,000		3,697,438		3,719,018
31398AYY2	FNMA SENIOR AGENCY BND		9/16/2014		4,000,000		4,062,765		4,071,080
31398AZF2	FNMA UNSEC AGENCY BND		9/28/2012		5,000,000		4,999,501		5,007,400
31400EGH7	FNMA POOL # 685200		3/1/2018		502,675		498,841		533,919
31400JL98	FNMA POOL # 688952		4/1/2033		8,435,443		8,346,177		8,761,480
31400JM55	FNMA POOL # 688980		5/1/2033		2,895		2,999		3,053
31400QJ87	FNMA POOL # 694287		3/1/2033		206,644		204,578		213,933
31400SA33	FNMA POOL # 695826		4/1/2018		444,248		440,850		471,860
31400TTJ6	FNMA POOL # 697253		9/1/2033		30,168		30,829		31,289
31400UQV9	FNMA POOL # 698068		4/1/2033		626,058		619,376		658,613
31400WDQ0	FNMA POOL # 699511		6/1/2033		70,828		72,385		73,460
31401A3C9	FNMA POOL # 702895		4/1/2018		587,047		582,563		623,535
31402DGQ7	FNMA POOL # 725707		8/1/2019		2,003,127		1,987,645		2,121,678
31402DS27	FNMA POOL # 726037		8/1/2033		30,486		31,155		31,619
31402E2N7	FNMA POOL # 727181		8/1/2033		240,785		246,084		249,732
31402EJ41	FNMA POOL # 726683		10/1/2033		41,286		42,195		42,820
31402GP98	FNMA POOL # 728648		7/1/2033		8,572		8,881		8,894

Allied World Assurance Company Holdings, Ltd.

Fixed Income Securities Listing as at September 30, 2009

Security ID	Description	Maturity Date		Par		Book Value $		Fair Value $
31402GZT3	FNMA POOL # 728954		8/1/2033		21,620		22,094		22,423
31402JYY7	FNMA POOL # 730727		8/1/2033		62,075		63,441		64,381
31402LHF2	FNMA POOL # 732030		9/1/2033		18,109		18,507		18,782
31402QXK2	FNMA POOL # 735182		2/1/2031		1,003,313		1,046,721		1,093,611
31402RBY4	FNMA POOL # 735455		3/1/2034		13,340		13,633		13,836
31402RSS9	FNMA POOL # 735929		8/1/2032		1,526,981		1,583,813		1,668,226
31402YFB5	FNMA POOL # 741862		9/1/2033		41,829		43,106		43,963
31402YGR9	FNMA POOL # 741908		11/1/2033		20,053		20,492		20,798
31402YSV7	FNMA POOL # 742232		9/1/2033		170,501		167,885		176,897
31403C2L4	FNMA POOL # 745179		4/1/2019		2,046,078		2,030,310		2,173,255
31403C3B5	FNMA POOL # 745194		5/1/2019		8,078,129		7,951,330		8,659,940
31403C3T6	FNMA POOL # 745210		1/1/2019		15,720,936		15,474,913		16,853,205
31403CWU1	FNMA POOL # 745059		9/1/2035		15,889,416		15,779,958		16,292,966
31403DC56	FNMA POOL # 745392		12/1/2020		12,075,046		11,765,447		12,700,514
31403DC72	FNMA POOL # 745394		11/1/2020		7,300,232		7,113,201		7,688,604
31403DCC1	FNMA POOL # 745367		12/1/2018		7,525,940		7,408,265		8,067,981
31403DCE7	FNMA POOL # 745369		12/1/2019		1,204,962		1,195,632		1,276,275
31403DCZ0	FNMA POOL # 745388		11/1/2018		4,055,711		4,024,571		4,307,797
31403DJG5	FNMA POOL # 745563		8/1/2034		34,017		34,984		35,729
31403DKZ1	FNMA POOL # 745612		7/1/2034		41,467		42,377		43,007
31403FPV0	FNMA POOL # 747536		11/1/2033		93,012		95,058		96,468
31403GJT0	FNMA POOL # 748274		10/1/2033		63,163		64,555		65,509
31403GRW4	FNMA POOL # 748501		11/1/2033		14,255		14,568		14,784
31403KDB6	FNMA POOL # 750798		12/1/2033		166,872		164,372		170,462
31403N4F1	FNMA POOL # 754222		12/1/2033		32,123		33,241		33,761
31403NYJ0	FNMA POOL # 754113		12/1/2033		44,210		45,861		48,189
31403SBL9	FNMA POOL # 756143		7/1/2030		324,505		337,232		354,522
31403U7H8	FNMA POOL # 758796		12/1/2033		19,776		20,210		20,511
31403VBR9	FNMA POOL # 758848		1/1/2019		588,333		583,799		624,902
31404EGE0	FNMA POOL # 766197		2/1/2034		52,876		54,491		55,637
31404NBP0	FNMA POOL # 773246		2/1/2035		2,109,789		2,089,284		2,158,861
31404Q2H1	FNMA POOL # 775776		5/1/2034		131,264		135,838		137,869
31404RA98	FNMA POOL # 775932		6/1/2028		42,862		44,527		46,720
31404RAX5	FNMA POOL # 775922		10/1/2028		178,257		184,769		194,300
31404SFP5	FNMA POOL # 776974		4/1/2034		8,465		8,724		8,926
31404XLJ1	FNMA POOL # 781629		12/1/2034		571,212		588,650		599,955
31405QNR5	FNMA POOL # 796100		10/1/2034		2,272		2,337		2,396
31405UMM8	FNMA POOL # 799664		10/1/2034		907,412		900,428		934,363
31405UTZ2	FNMA POOL # 799868		11/1/2034		317,251		314,481		323,801
31406BB90	FNMA POOL # 804764		1/1/2035		3,473,793		3,442,797		3,548,954
31406BEZ9	FNMA POOL # 804852		12/1/2034		3,112,850		3,085,300		3,187,679
31406BJF8	FNMA POOL # 804962		1/1/2035		3,946,532		3,912,652		4,033,416
31406BQQ6	FNMA POOL # 805163		1/1/2035		4,337,623		4,296,414		4,442,272
31406DG67	FNMA POOL # 806721		11/1/2034		7,282,864		7,222,308		7,532,371
31406MYP5	FNMA POOL # 814418		3/1/2035		4,253,185		4,209,771		4,378,842
31406PD71	FNMA POOL # 815626		5/1/2035		12,941,492		12,828,203		13,281,418
31406Q6S1	FNMA POOL # 817281		6/1/2035		19,426		20,102		20,423
31406QLT2	FNMA POOL # 816738		1/1/2030		1,105,026		1,145,781		1,204,478
31406RRZ0	FNMA POOL # 817804		9/1/2036		126,645		133,556		134,003
31406RYW9	FNMA POOL # 818025		3/1/2037		26,629		27,589		28,069
31406TLC3	FNMA POOL # 819423		4/1/2035		6,087,713		6,032,743		6,343,763
31406TWR8	FNMA POOL # 819756		1/1/2035		1,559,640		1,545,349		1,586,457
31406VHE9	FNMA POOL # 821129		5/1/2035		4,421,078		4,376,617		4,521,984
31406XDU3	FNMA POOL # 822815		4/1/2035		234,525		242,706		246,115
31407CE29	FNMA POOL # 826453		7/1/2035		1,492		1,534		1,573
31407FG53	FNMA POOL # 829220		8/1/2035		3,677		3,781		3,877
31407FUW8	FNMA POOL # 829597		8/1/2035		5,152,622		5,098,937		5,312,722
31407H3M6	FNMA POOL # 831604		6/1/2036		182,427		192,382		193,217
31407HKX3	FNMA POOL # 831110		10/1/2035		18,283		18,921		19,187

Allied World Assurance Company Holdings, Ltd.

Fixed Income Securities Listing as at September 30, 2009

Security ID	Description	Maturity Date		Par		Book Value $		Fair Value $
31407JXG2	FNMA POOL # 832379		8/1/2035		2,067,754		2,046,042		2,125,526
31407RQD9	FNMA POOL # 838452		9/1/2035		70,418		72,571		74,074
31408AG53	FNMA POOL # 845420		2/1/2036		89,745		94,642		95,053
31408BKL1	FNMA POOL # 846399		5/1/2029		2,475,326		2,566,022		2,698,105
31408FJR1	FNMA POOL # 849972		2/1/2029		2,001,643		2,075,170		2,181,791
31408GFA0	FNMA POOL # 850761		12/1/2035		728,535		768,286		771,741
31409A5P0	FNMA POOL # 865854		3/1/2036		288,996		304,765		306,090
31409AFL8	FNMA POOL # 865171		2/1/2036		1,732		1,785		1,819
31409AYE3	FNMA POOL # 865709		3/1/2036		690,996		728,701		731,143
31409C5N1	FNMA POOL # 867653		5/1/2036		134,152		141,472		142,087
31409CRY3	FNMA POOL # 867303		2/1/2036		479,677		505,474		508,049
31409GKJ4	FNMA POOL # 870697		8/1/2036		48,969		51,590		51,865
31409GL46	FNMA POOL # 870747		7/1/2036		476,148		501,757		504,312
31409GML7	FNMA POOL # 870763		7/1/2036		3,411,363		3,563,913		3,646,263
31409GTT3	FNMA POOL # 870962		11/1/2036		2,027,768		2,136,902		2,147,709
31409JWL0	FNMA POOL # 872851		6/1/2036		327,432		345,299		346,799
31409TU22	FNMA POOL # 878201		9/1/2036		159,508		168,212		168,943
31409UB38	FNMA POOL # 878558		3/1/2036		90,328		95,257		95,520
31409VYW7	FNMA POOL # 880125		4/1/2036		126,503		133,406		133,774
31409YCS4	FNMA POOL # 882181		8/1/2036		109,389		115,358		115,859
31410CJV5	FNMA POOL # 885076		5/1/2036		39,326		41,472		41,611
31410DUT5	FNMA POOL # 886294		8/1/2036		166,363		175,442		176,204
31410DYB0	FNMA POOL # 886406		8/1/2036		1,770,279		1,866,883		1,874,990
31410E2G2	FNMA POOL # 887375		7/1/2036		274,645		289,549		290,431
31410EP77	FNMA POOL # 887046		8/1/2036		684,971		722,350		725,487
31410F5M3	FNMA POOL # 888352		5/1/2037		2,753,796		2,849,542		2,891,798
31410FU60	FNMA POOL # 888105		8/1/2020		1,644,479		1,631,694		1,746,694
31410G6J7	FNMA POOL # 889273		4/1/2038		99,353		102,357		104,332
31410GBJ1	FNMA POOL # 888441		5/1/2037		257,634		271,694		272,872
31410GC84	FNMA POOL # 888495		7/1/2035		3,868,394		3,830,857		4,042,441
31410GD83	FNMA POOL # 888527		4/1/2034		625,601		614,163		648,130
31410GDF7	FNMA POOL # 888502		6/1/2033		2,165,032		2,137,756		2,236,600
31410GDL4	FNMA POOL # 888507		2/1/2035		10,035,934		9,867,165		10,294,836
31410GDN0	FNMA POOL # 888509		6/1/2033		271,912		266,208		279,868
31410GDP5	FNMA POOL # 888510		6/1/2035		9,680,230		9,486,295		10,117,292
31410GDS9	FNMA POOL # 888513		2/1/2034		400,153		394,943		408,836
31410GDY6	FNMA POOL # 888519		1/1/2035		1,091,397		1,073,384		1,121,042
31410GJ46	FNMA POOL # 888683		12/1/2019		5,785,585		5,740,788		6,146,606
31410KCT9	FNMA POOL # 889382		4/1/2038		65,035		67,383		68,553
31410KDT8	FNMA POOL # 889414		11/1/2037		1,992,576		2,099,928		2,110,435
31410KEQ3	FNMA POOL # 889443		4/1/2038		3,099,958		3,194,792		3,255,307
31410KFE9	FNMA POOL # 889465		3/1/2038		4,584,387		4,744,066		4,804,438
31410KJB1	FNMA POOL # 889558		6/1/2038		422,957		438,269		445,838
31410KLY8	FNMA POOL # 889643		3/1/2038		900,349		949,490		953,604
31410KNM2	FNMA POOL # 889696		6/1/2038		135,062		142,434		143,051
31410KS47	FNMA POOL # 889839		12/1/2035		16,740		17,216		17,582
31410KTP9	FNMA POOL # 889858		7/1/2038		60,199		62,489		63,625
31410KX74	FNMA POOL # 890002		9/1/2036		24,367,805		24,410,668		25,610,963
31410KXA7	FNMA POOL # 889973		9/1/2038		849,809		874,000		889,641
31410KXQ2	FNMA POOL # 889987		8/1/2038		415,313		431,946		438,948
31410KXR0	FNMA POOL # 889988		8/1/2038		1,832,709		1,902,181		1,931,855
31410KXT6	FNMA POOL # 889990		9/1/2038		571,371		591,296		600,005
31410MJZ4	FNMA POOL # 891380		12/1/2031		50,453		51,559		52,328
31410MMX5	FNMA POOL # 891474		4/1/2036		626,523		660,709		663,581
31410NSR0	FNMA POOL # 892528		9/1/2036		532,947		562,029		564,470
31410PCJ0	FNMA POOL # 892973		9/1/2036		306,721		323,459		324,863
31410PN90	FNMA POOL # 893316		8/1/2036		280,956		296,288		297,575
31410PXR9	FNMA POOL # 893588		9/1/2036		177,615		187,307		187,934
31410Q4H1	FNMA POOL # 894624		11/1/2036		421,169		443,854		446,081

Allied World Assurance Company Holdings, Ltd.

Fixed Income Securities Listing as at September 30, 2009

Security ID	Description	Maturity Date		Par		Book Value $		Fair Value $
31410QD40	FNMA POOL # 893923		10/1/2036		144,420		152,301		152,963
31410QGN5	FNMA POOL # 894005		10/1/2036		576,713		608,185		610,825
31410RHZ5	FNMA POOL # 894948		8/1/2036		218,173		229,912		231,078
31410SX85	FNMA POOL # 896303		7/1/2036		98,493		103,868		104,216
31410SZH3	FNMA POOL # 896344		10/1/2036		104,575		110,281		110,760
31410TBJ3	FNMA POOL # 896541		9/1/2036		222,465		234,604		235,623
31410UGR7	FNMA POOL # 897608		3/1/2037		93,661		97,231		98,728
31410V4A5	FNMA POOL # 899117		4/1/2037		45,284		47,009		47,733
31410V4C1	FNMA POOL # 899119		4/1/2037		9,535		9,809		10,013
31410VAG5	FNMA POOL # 898307		11/1/2036		232,125		244,792		245,611
31410VR69	FNMA POOL # 898809		11/1/2036		118,815		125,209		125,842
31410WL55	FNMA POOL # 899548		6/1/2037		148,945		154,135		156,095
31410YXT6	FNMA POOL # 901690		10/1/2036		251,419		265,139		266,290
31411A5E1	FNMA POOL # 902745		11/1/2036		2,045,105		2,156,708		2,163,925
31411AJH9	FNMA POOL # 902164		11/1/2036		414,846		437,485		438,948
31411ASA4	FNMA POOL # 902413		11/1/2036		1,127,888		1,189,438		1,193,418
31411AYF6	FNMA POOL # 902610		11/1/2036		187,095		197,305		197,849
31411AZ40	FNMA POOL # 902663		11/1/2036		601,399		634,217		636,971
31411BBW2	FNMA POOL # 902853		12/1/2036		15,286		15,726		16,052
31411BJC8	FNMA POOL # 903059		12/1/2036		221,740		230,185		233,736
31411BLG6	FNMA POOL # 903127		10/1/2036		12,567		13,020		13,165
31411C5W7	FNMA POOL # 904561		11/1/2036		275,652		290,694		291,956
31411CKK6	FNMA POOL # 903998		12/1/2036		54,834		57,783		57,986
31411DQK8	FNMA POOL # 905058		11/1/2036		115,103		121,384		121,911
31411E2C0	FNMA POOL # 906271		1/1/2037		348,879		361,040		366,362
31411EPM3	FNMA POOL # 905928		1/1/2037		74,122		78,167		78,506
31411EUP0	FNMA POOL # 906090		1/1/2037		215,538		223,045		226,056
31411EVY0	FNMA POOL # 906131		1/1/2037		502,170		529,213		531,873
31411EYW1	FNMA POOL # 906225		1/1/2037		33,738		35,087		35,658
31411EZV2	FNMA POOL # 906256		1/1/2037		27,914		28,887		29,313
31411FLP7	FNMA POOL # 906734		1/1/2037		1,405,102		1,481,781		1,486,738
31411GNS7	FNMA POOL # 907701		2/1/2037		93,776		97,528		99,112
31411HXH8	FNMA POOL # 908880		2/1/2037		62,336		64,688		65,258
31411J7B6	FNMA POOL # 909990		3/1/2037		71,720		74,586		75,801
31411JLZ7	FNMA POOL # 909444		2/1/2037		33,559		35,390		35,479
31411JUS3	FNMA POOL # 909693		2/1/2037		92,741		97,802		98,046
31411KDP5	FNMA POOL # 910110		3/1/2037		5,862		6,083		6,195
31411KE82	FNMA POOL # 910159		3/1/2037		6,553		6,815		6,926
31411KG64	FNMA POOL # 910221		3/1/2037		280,622		290,388		294,685
31411LTN1	FNMA POOL # 911457		3/1/2037		36,516		37,832		38,491
31411LXD8	FNMA POOL # 911576		4/1/2037		2,511		2,588		2,637
31411N6G7	FNMA POOL # 912671		3/1/2037		37,816		39,111		39,711
31411NWC7	FNMA POOL # 912443		3/1/2037		43,489		45,129		45,527
31411RFD5	FNMA POOL # 912864		2/1/2037		99,630		103,387		104,299
31411RFF0	FNMA POOL # 912866		2/1/2037		160,043		166,144		168,701
31411S5Q5	FNMA POOL # 914455		4/1/2037		517,019		535,023		542,928
31411S7J9	FNMA POOL # 914497		3/1/2037		75,168		78,020		79,446
31411SP42	FNMA POOL # 914043		2/1/2037		40,956		42,435		43,171
31411SP91	FNMA POOL # 914048		3/1/2037		81,886		86,355		86,729
31411UZT1	FNMA POOL # 915254		4/1/2037		102,373		107,960		108,428
31411VFE4	FNMA POOL # 915565		4/1/2037		100,529		104,551		106,250
31411VJR1	FNMA POOL # 915672		5/1/2037		174,114		183,616		184,413
31411VTQ2	FNMA POOL # 915959		4/1/2037		84,068		87,179		88,009
31411WVZ7	FNMA POOL # 916932		5/1/2037		31,821		32,931		33,416
31411WWC7	FNMA POOL # 916943		6/1/2037		193,589		200,343		202,881
31411WXG7	FNMA POOL # 916979		4/1/2037		84,269		87,641		89,064
31411WXL6	FNMA POOL # 916983		4/1/2037		167,321		173,703		176,373
31411WXP7	FNMA POOL # 916986		4/1/2037		1,794,461		1,807,608		1,884,388
31411WZZ3	FNMA POOL # 917060		5/1/2037		1,281,213		1,325,857		1,342,711

Allied World Assurance Company Holdings, Ltd.

Fixed Income Securities Listing as at September 30, 2009

Security ID	Description	Maturity Date		Par		Book Value $		Fair Value $
31411X3C7	FNMA POOL # 917995		5/1/2037		29,421		30,445		30,896
31411X7D1	FNMA POOL # 918092		5/1/2037		31,731		32,836		33,321
31411XMU6	FNMA POOL # 917571		4/1/2037		92,453		95,921		97,454
31411XU94	FNMA POOL # 917808		5/1/2037		71,378		75,273		75,426
31411XXG5	FNMA POOL # 917879		5/1/2037		35,760		37,051		37,436
31411YCA9	FNMA POOL # 918165		5/1/2037		1,751,713		1,767,935		1,839,497
31411YCT8	FNMA POOL # 918182		5/1/2037		1,810,426		1,823,641		1,901,153
31411YEK5	FNMA POOL # 918238		5/1/2037		11,699		12,034		12,286
31411YKM4	FNMA POOL # 918400		5/1/2037		44,107		45,691		46,174
31411YNU3	FNMA POOL # 918503		6/1/2037		120,117		123,936		126,137
31411YNW9	FNMA POOL # 918505		5/1/2037		35,672		36,959		37,601
31411YSG9	FNMA POOL # 918619		6/1/2037		48,871		50,562		51,320
31411YZX4	FNMA POOL # 918858		4/1/2037		34,161		35,145		35,872
31412DX37	FNMA POOL # 922398		1/1/2037		26,350		27,788		27,881
31412ESY3	FNMA POOL # 923135		1/1/2037		68,449		72,132		72,497
31412FK69	FNMA POOL # 923817		4/1/2037		54,861		56,616		57,610
31412FMY6	FNMA POOL # 923875		4/1/2037		1,978,928		2,086,926		2,091,160
31412HZK8	FNMA POOL # 926046		4/1/2038		77,571		80,277		81,459
31412L2N9	FNMA POOL # 928781		10/1/2037		188,667		194,116		198,122
31412LB74	FNMA POOL # 928062		2/1/2037		5,172		5,321		5,431
31412LBJ8	FNMA POOL # 928041		12/1/2036		171,172		178,018		180,913
31412LD64	FNMA POOL # 928125		3/1/2037		48,110		49,578		50,521
31412LDY3	FNMA POOL # 928119		3/1/2037		124,333		129,308		131,409
31412LEH9	FNMA POOL # 928136		2/1/2037		6,807		7,080		7,195
31412LFX3	FNMA POOL # 928182		4/1/2037		180,269		187,077		188,719
31412LKE9	FNMA POOL # 928293		5/1/2037		1,267,587		1,277,127		1,331,110
31412LQU7	FNMA POOL # 928467		7/1/2037		17,276		17,900		18,211
31412LQW3	FNMA POOL # 928469		7/1/2037		18,718		19,271		19,656
31412LQZ6	FNMA POOL # 928472		6/1/2037		12,951		13,419		13,573
31412LTN0	FNMA POOL # 928557		7/1/2037		171,875		177,867		180,489
31412MJ82	FNMA POOL # 929187		3/1/2038		1,390,755		1,432,508		1,460,451
31412MLU0	FNMA POOL # 929239		2/1/2038		307,021		315,889		322,407
31412MX29	FNMA POOL # 929597		6/1/2038		3,383		3,506		3,544
31412MYX0	FNMA POOL # 929626		6/1/2038		601,956		621,472		632,122
31412N2A3	FNMA POOL # 930569		2/1/2039		436,938		450,415		458,834
31412N2F2	FNMA POOL # 930574		2/1/2039		38,031		39,197		39,834
31412NAX4	FNMA POOL # 929822		8/1/2038		607,839		629,769		640,722
31412NEH5	FNMA POOL # 929936		9/1/2038		30,142		31,228		31,773
31412NHJ8	FNMA POOL # 930033		10/1/2038		152,812		157,161		161,078
31412NHL3	FNMA POOL # 930035		10/1/2038		314,726		324,521		330,499
31412NLN4	FNMA POOL # 930133		11/1/2038		114,007		117,475		119,720
31412NLS3	FNMA POOL # 930137		11/1/2038		251,415		258,913		264,015
31412NP83	FNMA POOL # 930247		12/1/2038		730,895		758,678		772,491
31412NQS8	FNMA POOL # 930265		12/1/2038		179,762		189,574		190,395
31412NR24	FNMA POOL # 930305		12/1/2038		345,719		358,871		365,394
31412NRG3	FNMA POOL # 930287		12/1/2038		1,246,666		1,291,563		1,305,883
31412NU38	FNMA POOL # 930402		1/1/2039		279,764		288,408		293,784
31412NU87	FNMA POOL # 930407		1/1/2039		144,627		152,393		152,899
31412NUL8	FNMA POOL # 930387		1/1/2039		2,361,957		2,439,435		2,443,444
31412NUP9	FNMA POOL # 930390		1/1/2039		2,316,877		2,393,407		2,398,431
31412NUQ7	FNMA POOL # 930391		1/1/2039		255,091		263,459		263,892
31412NUT1	FNMA POOL # 930394		1/1/2039		143,263		147,957		148,206
31412NUW4	FNMA POOL # 930397		1/1/2039		1,454,686		1,505,222		1,527,585
31412NXB7	FNMA POOL # 930474		1/1/2039		1,851,159		1,910,999		1,915,024
31412NXE1	FNMA POOL # 930477		1/1/2039		2,985,062		3,086,658		3,098,793
31412NZ33	FNMA POOL # 930562		2/1/2039		113,177		116,829		117,501
31412PF30	FNMA POOL # 930886		4/1/2039		204,883		216,066		216,602
31412PJD4	FNMA POOL # 930960		4/1/2039		61,499		63,723		64,420
31412PJF9	FNMA POOL # 930962		4/1/2039		59,295		61,364		62,112

Allied World Assurance Company Holdings, Ltd.

Fixed Income Securities Listing as at September 30, 2009

Security ID	Description	Maturity Date		Par		Book Value $		Fair Value $
31412PJQ5	FNMA POOL # 930971		4/1/2039		49,266		50,985		51,740
31412PP88	FNMA POOL # 931147		5/1/2039		336,504		346,892		348,113
31412PQF1	FNMA POOL # 931154		5/1/2039		177,835		183,325		183,970
31412PS44	FNMA POOL # 931239		5/1/2039		59,037		60,860		61,074
31412PXF3	FNMA POOL # 931378		6/1/2039		151,339		152,494		153,488
31412TL84	FNMA POOL # 934251		1/1/2039		142,078		147,203		148,812
31412TLQ4	FNMA POOL # 934235		1/1/2039		305,289		314,356		320,588
31412TM26	FNMA POOL # 934277		6/1/2038		8,467,053		8,723,890		8,869,238
31412TMZ3	FNMA POOL # 934276		6/1/2038		92,820		95,968		97,472
31412TRT2	FNMA POOL # 934398		9/1/2038		13,632		14,020		14,370
31412TXD0	FNMA POOL # 934576		10/1/2038		84,739		87,320		88,986
31412TYS6	FNMA POOL # 934621		11/1/2038		104,097		107,273		109,314
31412UPR5	FNMA POOL # 935232		5/1/2039		260,588		269,700		272,940
31412UZE3	FNMA POOL # 935541		8/1/2039		110,339		113,745		114,134
31412WP91	FNMA POOL # 937048		4/1/2037		37,869		39,236		39,918
31412X4X9	FNMA POOL # 938338		7/1/2037		326,274		344,080		345,573
31412XNM2	FNMA POOL # 937896		7/1/2037		121,785		128,432		128,692
31412XS47	FNMA POOL # 938039		7/1/2037		22,776		23,434		23,918
31412XSX3	FNMA POOL # 938034		7/1/2037		168,688		175,055		176,595
31412XZL1	FNMA POOL # 938247		7/1/2037		1,156,437		1,219,548		1,222,022
31412YCZ3	FNMA POOL # 938488		5/1/2037		17,455		17,989		18,330
31413A5E9	FNMA POOL # 940145		5/1/2037		140,472		148,138		148,507
31413AGA5	FNMA POOL # 939493		6/1/2037		3,596		3,699		3,776
31413AH22	FNMA POOL # 939549		7/1/2037		34,752		36,007		36,381
31413BGG0	FNMA POOL # 940399		6/1/2037		195,405		206,069		206,964
31413BGL9	FNMA POOL # 940403		6/1/2037		5,231		5,379		5,514
31413BP39	FNMA POOL # 940642		8/1/2037		349,520		368,596		370,194
31413BSE2	FNMA POOL # 940717		10/1/2037		573,938		605,262		607,886
31413BWA5	FNMA POOL # 940841		8/1/2037		1,173		1,209		1,232
31413CLH0	FNMA POOL # 941428		7/1/2037		8,044,528		8,331,682		8,504,675
31413D2T3	FNMA POOL # 942786		8/1/2037		2,049,804		2,160,084		2,171,049
31413D6C6	FNMA POOL # 942867		8/1/2037		17,223		18,163		18,241
31413DBH9	FNMA POOL # 942040		7/1/2037		773,093		814,693		816,938
31413DHR1	FNMA POOL # 942240		7/1/2037		711,453		750,280		752,148
31413DJ40	FNMA POOL # 942283		8/1/2037		117,695		124,027		124,656
31413DK97	FNMA POOL # 942320		8/1/2037		555,361		585,670		588,210
31413DLM7	FNMA POOL # 942332		8/1/2037		118,103		122,188		124,021
31413DT23	FNMA POOL # 942569		8/1/2037		422,396		445,141		447,380
31413EBT1	FNMA POOL # 942950		9/1/2037		2,775,467		2,924,798		2,939,633
31413ECR4	FNMA POOL # 942980		9/1/2037		158,532		167,184		167,909
31413FGZ9	FNMA POOL # 944016		8/1/2037		3,929		4,041		4,142
31413H2P2	FNMA POOL # 946382		9/1/2037		544,759		574,490		575,919
31413H7A0	FNMA POOL # 946489		9/1/2037		67,191		70,858		71,166
31413HU71	FNMA POOL # 946206		9/1/2037		408,821		431,133		433,002
31413HW38	FNMA POOL # 946266		9/1/2037		7,922		8,208		8,351
31413JCR3	FNMA POOL # 946580		9/1/2037		424,757		447,939		449,053
31413JUX0	FNMA POOL # 947098		10/1/2037		6,507,890		6,863,074		6,892,827
31413KHV6	FNMA POOL # 947644		10/1/2037		667,415		703,292		706,893
31413KY70	FNMA POOL # 948134		11/1/2037		131,161		138,320		138,919
31413LNN5	FNMA POOL # 948697		8/1/2037		3,812,656		3,944,311		4,031,619
31413LUD9	FNMA POOL # 948880		9/1/2037		75,182		79,285		79,629
31413NY66	FNMA POOL # 950833		11/1/2037		7,264,564		7,550,774		7,680,097
31413R2P0	FNMA POOL # 953582		12/1/2037		9,063,211		9,553,394		9,581,626
31413RE77	FNMA POOL # 952958		10/1/2037		267,908		282,529		283,754
31413RU79	FNMA POOL # 953406		11/1/2037		53,125		54,977		55,787
31413SA20	FNMA POOL # 953725		11/1/2037		1,058,446		1,115,421		1,121,052
31413SCQ5	FNMA POOL # 953779		11/1/2037		429,420		452,856		454,820
31413SDR2	FNMA POOL # 953812		12/1/2037		623,152		656,713		660,011
31413TPF3	FNMA POOL # 955022		9/1/2037		25,417		26,334		26,637

Allied World Assurance Company Holdings, Ltd.

Fixed Income Securities Listing as at September 30, 2009

Security ID	Description	Maturity Date		Par		Book Value $		Fair Value $
31413TUR1	FNMA POOL # 955192		11/1/2037		135,894		143,311		143,932
31413UQX0	FNMA POOL # 955970		10/1/2037		296,134		312,296		313,650
31413USF7	FNMA POOL # 956018		11/1/2037		776,546		801,910		820,587
31413YLZ2	FNMA POOL # 959444		12/1/2037		322,274		339,614		340,552
31413YNC1	FNMA POOL # 959487		12/1/2037		21,202		21,967		22,349
31414BNQ9	FNMA POOL # 961299		1/1/2038		305,244		314,044		320,541
31414BVF4	FNMA POOL # 961514		2/1/2038		35,331		36,562		37,102
31414CEG9	FNMA POOL # 961935		3/1/2038		207,672		213,664		218,079
31414CJH2	FNMA POOL # 962064		3/1/2038		1,469,160		1,520,456		1,538,946
31414CJK5	FNMA POOL # 962066		3/1/2038		826,845		856,730		866,120
31414CLB2	FNMA POOL # 962122		3/1/2038		52,463		54,294		54,955
31414CXE3	FNMA POOL # 962477		4/1/2038		16,111		16,693		16,884
31414CYF9	FNMA POOL # 962510		4/1/2038		232,970		240,097		244,645
31414CZ35	FNMA POOL # 962562		4/1/2038		218,865		225,559		229,833
31414DAG1	FNMA POOL # 962707		4/1/2038		18,728		19,404		19,618
31414DDA1	FNMA POOL # 962797		4/1/2038		144,983		149,305		152,248
31414DT48	FNMA POOL # 963271		5/1/2038		168,123		174,517		177,691
31414DV45	FNMA POOL # 963335		5/1/2038		437,853		461,423		463,752
31414E5L4	FNMA POOL # 964451		7/1/2038		29,066		30,171		30,720
31414E5M2	FNMA POOL # 964452		7/1/2038		369,286		382,611		389,264
31414E5W0	FNMA POOL # 964461		7/1/2038		61,026		63,069		64,084
31414EAG9	FNMA POOL # 963607		6/1/2038		6,663		6,867		6,997
31414EBW3	FNMA POOL # 963653		6/1/2038		13,928		14,424		14,590
31414EHC1	FNMA POOL # 963827		6/1/2038		34,083		35,314		35,702
31414EHG2	FNMA POOL # 963831		6/1/2038		16,403		17,026		17,336
31414EHJ6	FNMA POOL # 963833		6/1/2038		16,489		17,084		17,272
31414EMG6	FNMA POOL # 963959		7/1/2038		20,806		21,597		21,990
31414ENN0	FNMA POOL # 963997		6/1/2038		72,913		75,547		76,376
31414EV84	FNMA POOL # 964239		7/1/2038		98,174		101,022		103,093
31414FKA8	FNMA POOL # 964789		8/1/2038		1,447,900		1,525,775		1,533,542
31414FMQ1	FNMA POOL # 964867		8/1/2038		567,641		598,624		599,656
31414FPP0	FNMA POOL # 964930		8/1/2038		6,761		6,957		7,100
31414FQA2	FNMA POOL # 964949		8/1/2038		1,553,727		1,638,531		1,641,357
31414FUR0	FNMA POOL # 965092		9/1/2038		26,395		27,159		27,718
31414HDG9	FNMA POOL # 966403		12/1/2037		1,954		2,010		2,052
31414HFC6	FNMA POOL # 966463		1/1/2038		259,073		273,004		274,396
31414HKV8	FNMA POOL # 966608		2/1/2038		3,612		3,717		3,793
31414KJQ4	FNMA POOL # 968371		9/1/2038		16,394		16,891		17,215
31414LZL5	FNMA POOL # 969747		2/1/2038		2,316,661		2,443,104		2,447,321
31414M7A8	FNMA POOL # 970789		11/1/2038		159,586		164,343		167,584
31414MHG4	FNMA POOL # 970131		3/1/2038		10,975		11,292		11,525
31414MXJ0	FNMA POOL # 970581		10/1/2038		6,261		6,442		6,575
31414MXU5	FNMA POOL # 970591		10/1/2038		557,963		577,384		585,924
31414MYF7	FNMA POOL # 970610		10/1/2038		165,669		171,445		173,971
31414NCH5	FNMA POOL # 970872		12/1/2038		3,476,110		3,641,142		3,672,163
31414NCL6	FNMA POOL # 970875		12/1/2038		278,759		287,056		292,729
31414NH31	FNMA POOL # 971050		2/1/2039		2,853,803		2,947,049		2,962,856
31414NH49	FNMA POOL # 971051		2/1/2039		3,742,839		3,865,554		3,880,016
31414NHX5	FNMA POOL # 971046		1/1/2039		175,305		180,525		184,090
31414NHY3	FNMA POOL # 971047		1/1/2039		1,809,258		1,879,426		1,895,198
31414NHZ0	FNMA POOL # 971048		1/1/2039		1,792,475		1,862,048		1,877,617
31414PNQ8	FNMA POOL # 972099		2/1/2038		21,246		22,012		22,283
31414QAF4	FNMA POOL # 972606		4/1/2038		154,553		159,272		162,298
31414QZK6	FNMA POOL # 973346		2/1/2038		16,680		17,282		17,583
31414RLM5	FNMA POOL # 973832		3/1/2038		192,816		200,152		203,789
31414RLP8	FNMA POOL # 973834		3/1/2038		72,870		75,253		76,812
31414RNK7	FNMA POOL # 973894		3/1/2038		84,169		86,745		88,387
31414RQR9	FNMA POOL # 973964		5/1/2038		16,616		17,217		17,405
31414STX1	FNMA POOL # 974966		4/1/2038		158,796		164,341		166,339

Allied World Assurance Company Holdings, Ltd.

Fixed Income Securities Listing as at September 30, 2009

Security ID	Description	Maturity Date		Par		Book Value $		Fair Value $
31414SX57	FNMA POOL # 975100		6/1/2038		233,740		241,050		245,454
31414TBX8	FNMA POOL # 975354		5/1/2038		195,065		205,712		206,603
31414TNK3	FNMA POOL # 975694		8/1/2038		550,437		569,634		578,022
31414TRX1	FNMA POOL # 975802		4/1/2038		89,271		91,850		93,745
31414TSG7	FNMA POOL # 975819		4/1/2038		45,856		47,457		48,154
31414U3X4	FNMA POOL # 977014		5/1/2038		21,692		22,319		22,744
31414U4V7	FNMA POOL # 977036		5/1/2038		180,061		185,268		189,085
31414XW24	FNMA POOL # 979565		10/1/2038		15,166		15,742		16,029
31414XWJ7	FNMA POOL # 979549		10/1/2038		305,096		314,156		320,385
31415A4A6	FNMA POOL # 981517		7/1/2038		935		963		982
31415AUQ2	FNMA POOL # 981291		6/1/2038		24,995		25,718		26,248
31415AV32	FNMA POOL # 981334		7/1/2038		20,530		21,272		21,641
31415AV57	FNMA POOL # 981336		7/1/2038		188,563		194,379		198,012
31415AVE8	FNMA POOL # 981313		6/1/2038		13,341		13,750		14,009
31415BCB3	FNMA POOL # 981666		6/1/2038		65,051		67,398		68,570
31415BHZ5	FNMA POOL # 981848		6/1/2038		15,192		15,740		15,913
31415BKW8	FNMA POOL # 981909		6/1/2038		13,829		14,355		14,616
31415BKX6	FNMA POOL # 981910		6/1/2038		430,053		445,593		453,318
31415BP86	FNMA POOL # 982047		5/1/2038		17,669		18,307		18,625
31415BP94	FNMA POOL # 982048		5/1/2038		405,733		419,848		425,005
31415BQA0	FNMA POOL # 982049		5/1/2038		396,530		410,370		415,365
31415BQG7	FNMA POOL # 982055		5/1/2038		369,958		382,860		387,531
31415CPY7	FNMA POOL # 982939		10/1/2038		603,259		635,631		638,942
31415LAC1	FNMA POOL # 983003		5/1/2038		3,842		3,953		4,035
31415LCT2	FNMA POOL # 983082		5/1/2038		121,743		126,131		127,526
31415LNZ6	FNMA POOL # 983408		6/1/2038		86,324		89,605		90,994
31415MAH8	FNMA POOL # 983908		6/1/2038		38,503		39,894		40,332
31415MDW2	FNMA POOL # 984017		6/1/2038		27,472		28,517		29,036
31415MP74	FNMA POOL # 984346		5/1/2038		2,096		2,157		2,201
31415MPA7	FNMA POOL # 984317		5/1/2038		21,242		21,856		22,307
31415MSJ5	FNMA POOL # 984421		6/1/2038		108,942		112,748		114,401
31415PKV9	FNMA POOL # 985108		7/1/2038		12,288		12,645		12,903
31415PKW7	FNMA POOL # 985109		7/1/2038		39,189		40,681		41,420
31415PKX5	FNMA POOL # 985110		7/1/2038		200,760		208,016		210,296
31415PL30	FNMA POOL # 985146		9/1/2038		10,435		10,832		10,930
31415PM88	FNMA POOL # 985183		8/1/2038		14,983		15,525		15,695
31415PNP9	FNMA POOL # 985198		6/1/2038		448,396		472,870		473,686
31415PYL6	FNMA POOL # 985515		6/1/2038		42,817		44,055		44,963
31415PYM4	FNMA POOL # 985516		6/1/2038		618,673		637,597		649,677
31415PYN2	FNMA POOL # 985517		6/1/2038		103,974		107,159		109,185
31415Q2V7	FNMA POOL # 986488		8/1/2038		365,970		385,612		387,617
31415R3X0	FNMA POOL # 987414		7/1/2038		1,700		1,749		1,785
31415RE91	FNMA POOL # 986760		7/1/2038		69,206		71,327		72,674
31415RFA7	FNMA POOL # 986761		7/1/2038		1,391,471		1,413,160		1,461,202
31415RLS1	FNMA POOL # 986937		9/1/2038		163,544		169,236		171,739
31415RPR9	FNMA POOL # 987032		8/1/2038		10,832		11,146		11,375
31415RPT5	FNMA POOL # 987034		8/1/2038		24,810		25,706		25,988
31415RRS5	FNMA POOL # 987097		9/1/2038		678,213		715,231		718,328
31415SK43	FNMA POOL # 987815		9/1/2038		920		947		966
31415SPF3	FNMA POOL # 987922		11/1/2038		586,958		618,997		620,063
31415SPX4	FNMA POOL # 987938		12/1/2038		110,619		116,658		116,858
31415SWQ1	FNMA POOL # 988155		11/1/2038		83,722		86,146		87,917
31415TFD7	FNMA POOL # 988564		8/1/2038		140,603		145,156		147,649
31415TFQ8	FNMA POOL # 988575		8/1/2038		137,483		141,993		144,373
31415UZG5	FNMA POOL # 990043		9/1/2038		49,047		50,725		51,505
31415VAH8	FNMA POOL # 990208		9/1/2038		2,359,450		2,488,232		2,492,523
31415VCH6	FNMA POOL # 990272		10/1/2038		1,527,162		1,610,521		1,613,294
31415VP58	FNMA POOL # 990644		9/1/2038		28,010		28,824		29,414
31415VP66	FNMA POOL # 990645		9/1/2038		40,033		41,424		42,040

Allied World Assurance Company Holdings, Ltd.

Fixed Income Securities Listing as at September 30, 2009

Security ID	Description	Maturity Date		Par		Book Value $		Fair Value $
31415VP74	FNMA POOL # 990646		9/1/2038		53,911		55,734		56,612
31415VYV1	FNMA POOL # 990924		9/1/2038		28,539		29,530		29,969
31415VZW8	FNMA POOL # 990957		9/1/2023		587,105		574,366		616,028
31415WAD5	FNMA POOL # 991104		12/1/2038		629,088		653,017		664,890
31415WAK9	FNMA POOL # 991110		12/1/2038		689,548		727,187		730,335
31415WBC6	FNMA POOL # 991135		10/1/2038		219,607		231,594		232,596
31415WC27	FNMA POOL # 991189		9/1/2038		518,133		546,414		547,356
31415WN90	FNMA POOL # 991516		11/1/2038		297,835		306,316		313,947
31415WNC3	FNMA POOL # 991487		10/1/2038		22,627		23,417		23,761
31415WPM9	FNMA POOL # 991528		11/1/2038		677,002		713,954		715,185
31415XEM9	FNMA POOL # 992140		10/1/2038		579,342		597,011		608,375
31415XEN7	FNMA POOL # 992141		10/1/2038		1,639,403		1,698,108		1,736,372
31415XJM4	FNMA POOL # 992268		11/1/2038		329,817		339,640		346,345
31415XS28	FNMA POOL # 992537		11/1/2038		200,205		205,895		211,036
31415XS51	FNMA POOL # 992540		11/1/2038		115,849		119,138		122,116
31415XSZ5	FNMA POOL # 992536		11/1/2038		104,190		107,362		109,411
31415YEX3	FNMA POOL # 993050		12/1/2038		5,680		5,845		5,965
31415YFV6	FNMA POOL # 993080		12/1/2038		197,164		204,665		208,385
31415YG78	FNMA POOL # 993122		1/1/2039		546,552		567,344		572,513
31415YG86	FNMA POOL # 993123		1/1/2039		273,563		283,450		286,530
31415YZM4	FNMA POOL # 993648		12/1/2038		125,046		130,051		132,162
31416A2A7	FNMA POOL # 994569		1/1/2039		27,891		28,687		29,213
31416A7B0	FNMA POOL # 994690		2/1/2039		92,554		95,411		95,946
31416AHJ2	FNMA POOL # 994033		1/1/2039		194,235		201,642		203,442
31416ARW2	FNMA POOL # 994301		1/1/2039		154,667		160,650		161,998
31416ASV3	FNMA POOL # 994332		1/1/2039		344,960		363,790		364,416
31416BB80	FNMA POOL # 994763		11/1/2038		925,450		975,963		977,645
31416BHR2	FNMA POOL # 994940		10/1/2038		1,108,847		1,147,484		1,162,959
31416BMS4	FNMA POOL # 995069		10/1/2038		2,435,210		2,566,316		2,579,251
31416H2S3	FNMA POOL # AA0784		4/1/2039		105,747		109,012		109,623
31416H5E1	FNMA POOL # AA0844		12/1/2038		5,622,406		5,835,553		5,889,470
31416H5F8	FNMA POOL # AA0845		1/1/2039		4,660,240		4,837,124		4,925,456
31416H5G6	FNMA POOL # AA0846		1/1/2039		1,253,265		1,298,264		1,312,795
31416H5L5	FNMA POOL # AA0850		12/1/2038		323,853		341,531		342,118
31416H6M2	FNMA POOL # AA0875		1/1/2039		1,151,100		1,194,741		1,216,610
31416H6S9	FNMA POOL # AA0880		1/1/2039		168,475		174,525		176,477
31416HGM1	FNMA POOL # AA0203		1/1/2039		47,854		49,580		50,123
31416HKQ7	FNMA POOL # AA0302		1/1/2039		309,885		321,718		324,574
31416HLE3	FNMA POOL # AA0324		2/1/2039		33,858		34,824		35,462
31416HLF0	FNMA POOL # AA0325		3/1/2039		92,094		94,921		96,469
31416HTH8	FNMA POOL # AA0551		1/1/2039		32,724		34,510		34,570
31416HXW0	FNMA POOL # AA0692		12/1/2038		170,828		177,343		180,069
31416HZX6	FNMA POOL # AA0757		3/1/2039		62,366		64,622		65,322
31416J4P3	FNMA POOL # AA1729		1/1/2039		5,664,301		5,879,505		5,986,659
31416J4Y4	FNMA POOL # AA1738		1/1/2039		902,220		951,468		953,105
31416JBK6	FNMA POOL # AA0941		12/1/2038		1,648,042		1,705,290		1,726,323
31416JH20	FNMA POOL # AA1148		1/1/2039		176,635		183,347		186,687
31416JH38	FNMA POOL # AA1149		1/1/2039		98,365		101,913		103,038
31416JS93	FNMA POOL # AA1443		1/1/2039		101,021		104,666		105,809
31416JYC9	FNMA POOL # AA1606		1/1/2039		156,477		162,092		163,910
31416JYD7	FNMA POOL # AA1607		1/1/2039		483,560		501,930		511,080
31416JZM6	FNMA POOL # AA1647		2/1/2039		5,021,732		5,187,491		5,194,982
31416JZV6	FNMA POOL # AA1655		2/1/2039		97,746		101,277		102,379
31416KA32	FNMA POOL # AA1825		1/1/2039		142,949		148,473		149,724
31416KA40	FNMA POOL # AA1826		1/1/2039		187,001		194,142		195,865
31416KA73	FNMA POOL # AA1829		1/1/2039		34,372		36,248		36,307
31416KD47	FNMA POOL # AA1922		1/1/2039		451,551		469,606		477,249
31416KEB0	FNMA POOL # AA1929		1/1/2039		351,669		370,865		371,503
31416KEG9	FNMA POOL # AA1934		1/1/2039		693,850		720,253		731,385

Allied World Assurance Company Holdings, Ltd.

Fixed Income Securities Listing as at September 30, 2009

Security ID	Description	Maturity Date		Par		Book Value $		Fair Value $
31416KEQ7	FNMA POOL # AA1942		1/1/2039		159,559		164,434		167,555
31416KG36	FNMA POOL # AA2017		1/1/2039		42,886		44,437		44,919
31416KHA9	FNMA POOL # AA2024		1/1/2039		81,599		84,543		85,475
31416KHH4	FNMA POOL # AA2031		1/1/2039		35,105		37,021		37,084
31416KHU5	FNMA POOL # AA2042		2/1/2039		82,048		84,581		85,055
31416KHX9	FNMA POOL # AA2045		2/1/2039		55,718		57,735		58,359
31416KNC8	FNMA POOL # AA2186		2/1/2039		24,917		25,628		26,098
31416L2D7	FNMA POOL # AA3471		3/1/2039		147,925		153,271		154,952
31416LGF7	FNMA POOL # AA2897		3/1/2039		54,453		56,418		57,039
31416LJE7	FNMA POOL # AA2960		4/1/2039		79,036		81,793		82,782
31416LLK0	FNMA POOL # AA3029		3/1/2039		86,528		89,200		89,700
31416LTW6	FNMA POOL # AA3264		2/1/2039		113,358		116,835		118,742
31416M5A8	FNMA POOL # AA4440		3/1/2039		12,523,449		12,919,055		12,953,088
31416MR48	FNMA POOL # AA4106		7/1/2039		104,846		108,083		108,453
31416NKL5	FNMA POOL # AA4798		3/1/2039		90,086		93,348		94,365
31416NUH3	FNMA POOL # AA5083		4/1/2039		41,763		43,052		43,293
31416NYM8	FNMA POOL # AA5215		3/1/2039		77,226		79,932		80,894
31416PK89	FNMA POOL # AA5718		4/1/2039		55,304		57,011		57,331
31416PK97	FNMA POOL # AA5719		4/1/2039		70,199		72,740		73,533
31416PZA8	FNMA POOL # AA6136		5/1/2039		67,261		69,338		69,582
31416PZR1	FNMA POOL # AA6151		5/1/2039		78,300		80,827		80,994
31416QCU7	FNMA POOL # AA6382		6/1/2039		35,382		36,474		36,603
31416QJZ9	FNMA POOL # AA6579		5/1/2039		110,615		114,185		114,420
31416QTH8	FNMA POOL # AA6851		5/1/2039		102,639		105,951		106,170
31416QV51	FNMA POOL # AA6935		8/1/2039		44,414		44,753		45,045
31416QV77	FNMA POOL # AA6937		9/1/2039		92,883		95,750		96,078
31416QVS1	FNMA POOL # AA6924		8/1/2024		7,441,962		7,576,611		7,715,753
31416QYY5	FNMA POOL # AA7026		6/1/2039		592,592		604,218		612,889
31416RQ89	FNMA POOL # AA7678		6/1/2039		991,799		1,011,976		1,025,768
31416S6B2	FNMA POOL # AA8965		7/1/2039		124,397		125,347		126,164
31416SD40	FNMA POOL # AA8222		7/1/2039		132,080		133,088		133,955
31416SED9	FNMA POOL # AA8231		7/1/2039		102,381		105,686		105,903
31416SEE7	FNMA POOL # AA8232		7/1/2039		106,017		109,290		109,664
31416SFL0	FNMA POOL # AA8270		7/1/2039		67,235		67,675		68,190
31416SLA7	FNMA POOL # AA8420		6/1/2039		71,976		72,525		72,998
31416SLC3	FNMA POOL # AA8422		6/1/2039		149,482		150,623		151,605
31416SVB4	FNMA POOL # AA8709		6/1/2039		1,386,343		1,413,670		1,433,508
31416SWL1	FNMA POOL # AA8750		7/1/2039		987,035		1,004,819		1,020,615
31416T7K9	FNMA POOL # AA9897		7/1/2039		70,002		70,536		70,996
31416TAG4	FNMA POOL # AA9006		7/1/2039		110,766		111,611		112,339
31416TAL3	FNMA POOL # AA9010		7/1/2039		105,087		108,478		108,702
31416TAM1	FNMA POOL # AA9011		7/1/2039		84,055		86,650		86,946
31416TE39	FNMA POOL # AA9153		8/1/2039		71,650		72,197		72,668
31416TE47	FNMA POOL # AA9154		8/1/2039		123,428		124,235		125,180
31416TEE5	FNMA POOL # AA9132		8/1/2039		130,742		131,740		132,598
31416TEF2	FNMA POOL # AA9133		8/1/2039		127,848		128,684		129,729
31416TEP0	FNMA POOL # AA9141		8/1/2039		102,782		106,100		106,318
31416TEQ8	FNMA POOL # AA9142		8/1/2039		102,522		105,687		106,049
31416TF46	FNMA POOL # AA9186		8/1/2039		91,925		94,763		95,088
31416TFQ7	FNMA POOL # AA9174		8/1/2039		68,684		69,209		69,660
31416TKG3	FNMA POOL # AA9294		6/1/2039		108,787		112,298		112,540
31416TKJ7	FNMA POOL # AA9296		6/1/2039		119,014		122,689		123,120
31416UDB9	FNMA POOL # AA9997		8/1/2039		33,506		34,587		34,659
31417J2B5	FNMA POOL # AC0769		9/1/2039		68,729		71,328		71,083
31417JSB7	FNMA POOL # AC0513		7/1/2039		38,150		38,399		38,691
31417JYM6	FNMA POOL # AC0715		9/1/2024		8,464,206		8,617,361		8,775,605
31417JYR5	FNMA POOL # AC0719		8/1/2039		82,008		82,633		83,172
31417KAZ0	FNMA POOL # AC0923		7/1/2039		42,497		42,822		43,101
31417LLG8	FNMA POOL # AC2126		8/1/2039		66,181		68,224		68,457

Allied World Assurance Company Holdings, Ltd.

Fixed Income Securities Listing as at September 30, 2009

Security ID	Description	Maturity Date		Par		Book Value $		Fair Value $
31417LLX1	FNMA POOL # AC2141		7/1/2039		203,062		209,616		210,068
31417LLY9	FNMA POOL # AC2142		7/1/2039		135,676		139,864		140,356
31417LPJ8	FNMA POOL # AC2224		8/1/2039		42,006		43,303		43,451
31417LX42	FNMA POOL # AC2498		8/1/2039		53,183		54,825		55,013
31417MF81	FNMA POOL # AC2890		9/1/2039		25,746		26,675		26,628
31417MFB4	FNMA POOL # AC2861		8/1/2039		242,225		243,809		245,664
31417MPN7	FNMA POOL # AC3128		9/1/2039		114,167		118,484		118,077
31417MQK2	FNMA POOL # AC3157		10/1/2039		80,230		83,126		82,978
31417MQT3	FNMA POOL # AC3165		10/1/2039		77,941		80,888		80,610
31417MSZ7	FNMA POOL # AC3235		9/1/2039		600,000		618,897		620,640
31417MTC7	FNMA POOL # AC3246		9/1/2039		400,000		403,677		405,680
31417MTD5	FNMA POOL # AC3247		10/1/2039		700,000		705,888		709,940
31417MU68	FNMA POOL # AC3304		10/1/2039		700,000		722,047		724,080
31417MVC4	FNMA POOL # AC3310		10/1/2039		300,000		302,757		304,260
31417MVD2	FNMA POOL # AC3311		10/1/2039		700,000		705,888		709,940
31417MVJ9	FNMA POOL # AC3316		10/1/2039		939,163		970,674		971,470
31417MWB5	FNMA POOL # AC3341		8/1/2039		36,078		37,243		37,319
31417NB83	FNMA POOL # AC3662		10/1/2039		585,452		606,583		605,504
31417NRJ2	FNMA POOL # AC4088		8/1/2039		45,958		46,309		46,610
31417NRQ6	FNMA POOL # AC4094		8/1/2039		43,664		45,012		45,167
31421AAU7	FNMA POOL # MC0018		12/1/2038		4,805		4,988		5,033
31428XAQ9	FEDERAL EXPRESS CORP CORP BND		1/15/2014		1,000,000		1,067,714		1,130,915
32029GAB0	FFML ABS 07-FF2 A2A		3/25/2037		43,293		43,293		33,413
32052DAG6	FHAMS06-FA8 CMO 06-FA8 1A7		2/25/2037		10,577,766		7,755,693		7,450,978
33736XAB5	FIRST UNION NAT BANK CMBS00-C1 A2		5/17/2032		368,522		365,397		373,586
33736XAX7	FIRST UNION NAT BANK CMBS00-C2 A2		10/15/2032		423,399		427,055		435,330
34528XAG4	FORDO ABS08-C A4B		4/15/2013		14,000,000		13,213,342		14,374,500
34529GAF2	FORDO09-D ABS 09-D A3		10/15/2013		32,000,000		31,996,281		32,191,360
346604FJ5	FORSYTH CNTY GA SCH DIST MUNI BND GO		2/1/2020		1,430,000		1,370,723		1,593,606
349545C76	FORT ZUMWALT MO SCH DIST MUNI BND GO		3/1/2020		2,245,000		2,182,030		2,544,169
35177PAK3	FRANCE TELECOM CORP BND		3/1/2011		47,975,000		51,238,580		51,975,476
36158YDC0	GECMC CMBS01-3 A1		6/10/2038		125,269		121,058		128,022
36158YEK1	GECMC CMBS02-1A A2		12/10/2035		174,686		172,903		170,756
36158YFT1	GECCMC02-2 CMBS 02-2A		8/11/2036		24,929,000		24,999,857		25,790,807
36159JBD2	GEMNT ABS 07-3 AI		6/15/2013		981,000		981,000		973,790
361849ZS4	GMACC CMBS03-C3 A3		4/10/2040		500,000		491,185		508,313
36186CBF9	GMAC LLC — (LT) GTD CORP BND		12/19/2012		5,000,000		4,992,737		5,065,250
36206XC43	GNMA POOL # 424091		5/15/2031		2,802		2,903		3,081
3620A5MW6	GNMA POOL # 719573		9/15/2039		2,259,682		2,341,417		2,343,290
3620A8NA7	GNMA POOL # 722285		9/15/2039		1,833,243		1,899,547		1,901,073
3620A9SC6	GNMA POOL # 723315		9/15/2039		1,391,521		1,406,286		1,414,899
3620A9ST9	GNMA POOL # 723330		9/15/2039		3,009,000		3,117,012		3,120,333
3620A9SW2	GNMA POOL # 723333		9/15/2039		508,479		513,874		517,021
3620AC3E2	GNMA POOL # 726297		9/15/2039		1,000,000		1,029,731		1,037,000
3620AC3F9	GNMA POOL # 726298		9/15/2039		3,000,000		3,097,052		3,108,938
36212PPP1	GNMA POOL # 539630		4/15/2031		14,098		14,599		15,502
36212U5G2	GNMA POOL # 544547		5/15/2031		21,714		22,491		23,876
36213GCV1	GNMA POOL # 553684		4/15/2031		33,095		34,278		36,391
36213HGU7	GNMA POOL # 554711		3/15/2031		1,769		1,832		1,945
36213LGR5	GNMA POOL # 557408		5/15/2031		8,249		8,545		9,071
36225DM43	GNMA POOL # 081278		3/20/2035		14,525,386		13,784,858		14,308,357
36228CVQ3	GSMS CMBS05-GG4 A3		7/10/2039		500,000		486,291		469,412
36241KV39	GNMA POOL # 782434		8/15/2038		12,535,015		11,738,030		12,745,604
36241KV47	GNMA POOL # 782435		9/15/2038		8,691,890		8,139,651		8,837,914
36241KWA2	GNMA POOL # 782441		10/15/2038		6,195,951		5,802,269		6,300,043
36295QK82	GNMA POOL # 677219		8/15/2038		5,452,920		5,269,424		5,653,706
36295QLF5	GNMA POOL # 677226		8/15/2038		235,662		243,378		249,006
36295QPB0	GNMA POOL # 677318		9/15/2038		324,513		335,140		342,888
36296JCV5	GNMA POOL # 692284		8/15/2039		1,997,748		2,062,050		2,071,664

Allied World Assurance Company Holdings, Ltd.

Fixed Income Securities Listing as at September 30, 2009

Security ID	Description	Maturity Date		Par		Book Value $		Fair Value $
36297CTE9	GNMA POOL # 708049		9/15/2039		444,774		460,858		461,231
36297CTF6	GNMA POOL # 708050		9/15/2039		200,343		207,588		207,756
36297CTG4	GNMA POOL # 708051		9/15/2039		642,866		666,112		666,652
36297KCC3	GNMA POOL # 713867		9/15/2039		2,619,092		2,713,820		2,715,998
365653GZ1	GARFIELD CNTY COLO SCH DIST NO MUNI BND GO		12/1/2020		1,610,000		1,540,351		1,837,107
36828QQE9	GE CAPITAL COMM MTG CORP SENIOR CMBS 05-C4		11/10/2045		25,000,000		25,051,788		24,162,434
369550AK4	GENERAL DYNAMICS CORPORATION CORP BND		5/15/2013		1,250,000		1,186,496		1,311,144
369604BC6	GE CAPITAL CORP CORP BND		12/6/2017		8,750,000		8,632,435		9,008,380
36962G2H6	GE CAPITAL CORP CORP BND		3/12/2010		157,000		157,000		156,989
36962G2J2	GE CAPITAL CORP CORP BND		3/12/2010		1,341,000		1,341,000		1,341,268
36962G3Q5	GE CAPITAL CORP CORP BND		2/1/2011		1,105,000		1,103,942		1,100,226
36962G4C5	GE CAPITAL CORP CORP BND		5/13/2014		2,600,000		2,597,307		2,804,058
36962GT38	GE CAPITAL CORP CORP BND		11/15/2011		275,000		280,832		289,920
36962GX25	GE CAPITAL CORP SENIOR CORP BND		1/15/2010		556,000		556,029		555,833
36962GX90	GE CAPITAL CORP CORP BND		3/12/2010		654,000		654,054		653,869
36962GXS8	GENERAL ELEC CAP CO CORP BND		2/15/2012		55,000		53,111		58,741
36962GY99	GE CAPITAL CORP SENIOR CORP BND		10/26/2009		1,799,000		1,799,000		1,798,603
36962GYY4	GENERAL ELEC CAP CO CORP BND		6/15/2012		16,300,000		15,718,375		17,501,032
36967HAD9	GENERAL ELECTRIC CAPITAL CORPO CORP BND GOVT GUAR		12/9/2011		20,200,000		20,172,404		20,935,482
36967HAH0	GENERAL ELECTRIC CAPITAL CORPO CORP BND		6/8/2012		35,000,000		35,200,781		35,575,400
36967HAN7	GENERAL ELECTRIC CAPITAL CORPO CORP BND		3/12/2012		1,750,000		1,749,425		1,782,445
36967HAZ0	GENERAL ELECTRIC CAPITAL CORPO CORP BND MTNG		12/5/2012		4,000,000		3,994,687		4,079,600
370334BG8	GENERAL MILLS INC. SENIOR CORP BND		8/15/2013		9,075,000		9,338,018		9,861,192
370334BH6	GENERAL MILLS INC. CORP BND		2/15/2019		2,000,000		2,021,362		2,161,780
373334FN6	GEORGIA POWER COMPANY CORP BND		11/15/2012		1,250,000		1,246,272		1,358,062
373384GS9	GEORGIA ST MUNI BND GO		7/1/2016		5,000,000		5,308,825		5,936,000
377372AC1	GLAXOSK CAP INC CORP BND		5/15/2013		14,603,000		15,075,290		15,669,058
38141EA25	GOLDMAN SACHS GROUP INC CORP BND		2/15/2019		4,000,000		4,156,997		4,576,868
38405JAD1	GMFM WHOLE CMO 06-1 A4 144A		11/20/2056		201,976		201,976		200,682
38405JCD9	GMFM ABS 07-1A 2A1 144A		11/20/2056		1,320,225		1,320,225		1,265,462
385244HG6	GRAND BLANC MICH CMNTY SCHS MUNI BND GO		5/1/2020		1,000,000		962,248		1,092,810
38741QAC0	GRAN ABS 03-2 1A3		7/20/2043		120,826		120,826		100,890
38741SAF9	GRAN ABS 04-3 2A1		9/20/2044		50,332		50,332		41,272
38741YBJ7	GRANM WHOLE CMO 06-1A 144A		12/20/2054		445,077		306,750		369,414
38741YCD9	GRANM GRANM 06-3 A7		12/20/2054		36,473,099		25,067,939		30,272,672
38741YDB2	GRANM ABS 06-4 A4		12/20/2054		248,017		248,017		212,055
38741YDF3	GRANM ABS 07-1 2A1		12/20/2054		276,466		276,466		223,938
396789EM7	GCCFC SENIOR CMBS 03-C1 144A		7/5/2035		8,733,631		60,696		119,130
396789EQ8	GCCFC CMBS03-C2 A2		1/5/2036		281,421		278,227		279,299
396789FH7	GCCFC SENIOR CMBS 03-C2 144A		1/5/2036		22,544,329		137,015		178,100
396789JS9	GCCFC CMBS05-GG3 A3		8/10/2042		500,000		498,191		481,651
396789LL1	GCCFC SENIOR CMBS 05-GG5		4/10/2037		37,000,000		36,893,825		34,200,142
40411EAB4	BANK OF SCOTLAND PLC CORP BND 144A		2/21/2017		2,000,000		1,758,320		1,950,500
4041A0CL0	BANK OF SCOTLAND CORP BND 144A		6/11/2010		1,308,000		1,308,000		1,280,401
4041A0CN6	HBOS PLC CORP BND 144A		6/18/2010		621,000		621,000		611,685
40429CAA0	HOUSEHOLD FINANCE CORPORATION CORP BND		5/15/2011		18,000,000		18,372,644		18,983,166
40429CFT4	HSBC FINANCE CORP SENIOR CORP BND		10/21/2009		719,000		719,000		719,007
40429CFQ0	HSBC FINANCE CORP SENIOR CORP BND		6/1/2011		33,260,000		33,431,543		34,728,485
40429CFX5	HSBC FINANCE CORP SENIOR CORP BND		3/12/2010		294,000		294,000		293,021
4042EPAA5	HSBC USA INC — GTD CORP BND GOVT GUAR		12/16/2011		10,500,000		10,495,544		10,919,580
40431HAJ6	HALO CMO 06-2 1A9		12/25/2036		6,559,653		1,542,545		2,337,860
406036EP4	HALL CNTY NEB SCH DIST NO 2 GR MUNI BND GO		12/15/2019		1,080,000		1,047,544		1,204,243
407288NT2	HAMILTON CNTY OHIO MUNI BND REV		12/1/2010		1,000,000		1,019,193		1,049,660
41162NAC1	HVMLT 06-14-2A1A		2/19/2037		5,976,345		2,915,118		2,830,625
4140033N1	HARRIS CNTY TEX MUNI BND GO		8/15/2011		8,140,000		7,581,221		8,009,353
4197804K4	HAWAII ST MUNI BND GO		3/1/2021		2,000,000		1,905,975		2,234,420
41981VBQ0	HAWAII ST HSG & CMNTY DEV CORP MUNI BND REV		1/1/2033		1,925,000		1,601,135		1,886,885
425506E73	HENNEPIN CNTY MINN MUNI BND GO		12/1/2009		805,000		807,231		810,394
425538AM7	HENNEPIN CNTY MINN FIRST LIEN MUNI BND REV		12/15/2019		1,560,000		1,537,975		1,880,377

Allied World Assurance Company Holdings, Ltd.

Fixed Income Securities Listing as at September 30, 2009

Security ID	Description	Maturity Date		Par		Book Value $		Fair Value $
42809HAA5	AMERADA HESS CORPORATION CORP BND		2/15/2014		1,000,000		997,688		1,101,522
428236AU7	HEWLETT-PACKARD COMPANY CORP BND		2/24/2012		27,550,000		27,540,126		29,002,710
428236AX1	HEWLETT-PACKARD COMPANY CORP BND		5/27/2011		8,500,000		8,497,671		8,623,008
428236AY9	HEWLETT-PACKARD COMPANY CORP BND		8/15/2012		750,000		749,883		765,857
429827AB4	HEF10-401 ABS 04-1 A2 144A		1/1/2044		2,100,000		1,722,217		1,722,000
429827AE8	HIGHER EDUCATION FUNDING HEF0 ABS 04-1		1/1/2044		2,100,000		1,722,222		1,722,000
429827AF5	HEF10-401 ABS 04-1 A6 144A		1/1/2044		2,100,000		1,722,216		1,722,000
429827AJ7	HIGHER EDUCATION FUNDING HEF0 ABS 04-1 A9		1/1/2044		2,100,000		1,724,968		1,724,352
429827AK4	HIGHER EDUCATION FUNDING HEF0 SECURED ABS 04-1 144A		1/1/2044		2,300,000		1,888,558		1,886,000
429827AN8	HEF04-1 ABS 04-1 A13 144A		1/1/2044		2,100,000		1,722,237		1,722,000
429827AQ1	HEF04-1 ABS 04-1 A15 144A		1/1/2044		2,950,000		2,419,176		2,419,000
43641NAL8	HMI ABS 07-2A 2A1		7/15/2020		1,472,000		1,472,000		1,460,666
43641RAB1	HOLMES MASTER ISSUER PLC CMO 144A		7/15/2021		490,500		490,500		490,255
43812TAD6	HAROT ABS08-1 A4		9/18/2014		12,250,000		11,698,265		12,911,990
43812WAC1	HONDA AUTO RECIEVABLES OWNER T ABS 09-3 A3		5/15/2013		1,750,000		1,749,722		1,769,338
438516AY2	HONEYWELL INTERNATIONAL INC CORP BND		2/15/2014		3,500,000		3,491,820		3,629,007
438670EB3	HONOLULU HAWAII CITY & CNTY MUNI BND GO		7/1/2010		2,000,000		1,998,597		2,039,660
438670KA8	HONOLULU HAWAII CITY & CNTY MUNI BND GO		7/1/2020		1,500,000		1,427,695		1,669,515
440452AD2	HORMEL FOODS CORP CORP BND		6/1/2011		1,500,000		1,555,628		1,605,102
441812KH6	HOUSEHOLD FINANCE CORPORATION SENIOR CORP BND		11/16/2009		600,000		598,641		602,006
44914PAR8	HYPOTHEKENBANK IN ESSEN AG CORP BND 144A		1/20/2012		2,500,000		2,581,376		2,639,900
449670EQ7	IMC HOME EQUITY LOAN TRUST ABS 98-3		8/20/2029		293,205		294,936		240,369
44978NAA3	ING CAP FNDG TR III SECURED CORP BND		12/31/2049		10,000,000		8,413,842		6,400,000
44982XAD9	ING USA GLBL FDG SECURED CORP BND		10/9/2009		759,000		759,000		759,000
450679BX2	ITT INDUSTRIES INC. CORP BND		5/1/2019		1,150,000		1,148,439		1,242,219
45074GAA8	IBERDROLA FINANCE IRELAND LTD CORP BND 144A		9/11/2014		4,000,000		4,010,349		4,059,590
45138LAK9	IDAHO POWER COMPANY CORP BND		11/15/2012		1,750,000		1,696,951		1,839,250
452308AG4	ILLINOIS TOOL WORKS INC. CORP BND 144A		4/1/2019		1,000,000		1,097,103		1,129,284
452308AH2	ILLINOIS TOOL WORKS INC. CORP BND		4/1/2014		5,000,000		5,275,726		5,369,500
455057ER6	INDIANA ST FIN AUTH MUNI BND REV		2/1/2019		1,000,000		1,008,063		1,196,660
455141PZ8	IN TRANS FIN AUTH MUNI BND REV		12/1/2020		2,000,000		2,006,632		2,432,420
455280YR2	INDIANAPOLIS IND LOC PUB IMPT MUNI BND REV		2/1/2010		700,000		705,923		712,061
455398MB0	INDIANAPOLIS IND MUNI BND REV		6/1/2011		2,600,000		2,632,670		2,720,380
45660NQ24	INDX CMO 04-AR4 1A		8/25/2034		485,909		282,110		358,400
45668WAC1	INX CMO 07-FLX1 A-3		2/25/2037		5,000,000		409,375		683,986
4581X0BG2	INTER AMERICAN DEV BK CORP BND EMTN		9/17/2019		4,000,000		3,993,780		4,022,760
459200BA8	IBM CORP CORP BND		11/29/2012		20,000		19,923		21,589
459200GN5	IBM CORP CORP BND		10/15/2013		20,810,000		22,951,519		23,885,843
46070MAA7	IMT CMO 02-1G A2		7/7/2034		31,215		31,215		32,657
46263RHE8	IPS MULTI-SCH BLDG CORP IND MUNI BND REV		7/15/2029		6,700,000		6,700,000		6,700,000
46513EGV8	STATE OF ISRAEL AGENCY BND		12/4/2023		13,165,000		14,056,600		14,538,110
46623EHH5	JPMORGAN CHASE & CO CORP BND		6/22/2010		1,112,000		1,112,000		1,111,846
46625HAJ9	JP MORGAN CHASE & CO CORP BND		2/1/2011		22,930,000		23,336,580		24,445,538
46625HHB9	JPMORGAN CHASE & CO CORP BND		5/1/2013		26,895,000		26,879,641		28,417,283
46625YNC3	JPMCC CMBS 05_LDP2 A4		7/15/2042		30,415,000		29,499,153		28,959,435
46625YQR7	JPMCC CMBS05-CB12 A4		9/12/2037		500,000		467,591		485,090
46625YSG9	JPMCC CMBS05-LDP3 A4A		8/15/2042		400,000		372,855		394,436
46630GAA3	JPMMT WHOLE CMO 07-A1 1A1		7/25/2035		10,614,809		10,796,926		9,749,219
46630GAD7	JPMMT WHOLE CMO 07-A1 2A2		7/25/2035		4,084,213		4,140,262		3,694,579
46630GAN5	JPMMT07-A1 WHOLE CMO 07-A1 4A2		7/25/2035		2,807,850		2,872,622		2,427,692
46630GAS4	JPMMT WHOLE CMO 07-A1 5A2		7/25/2035		10,742,889		10,638,253		9,810,870
467520QY1	JACKSON CNTY MO REORG SCH DIST MUNI BND GO		3/1/2015		1,250,000		1,268,243		1,403,000
468312DN0	JACKSON MICH PUB SCHS MUNI BND GO		5/1/2020		1,000,000		956,048		1,092,810
480772PN6	JORDAN UTAH SCH DIST MUNI BND GO		6/15/2010		900,000		906,259		923,184
481247AA2	JPMORGAN CHASE & CO-GTD CORP BND GOVT GUAR		12/1/2011		10,200,000		10,307,864		10,606,674
484873FM1	KANSAS CITY MO MUNI BND GO		2/1/2020		1,000,000		963,298		1,154,480
485424GX7	KS ST DEPT TRANSN HWY MUNI BND REV		9/1/2015		2,000,000		2,051,196		2,100,060
485428UU8	KANSAS ST DEV FIN AUTH REV MUNI BND REV		10/1/2009		1,030,000		1,030,000		1,030,000
48542KHX0	KANSAS ST DEV FIN AUTH REV MUNI BND REV		11/1/2020		2,000,000		1,897,953		2,236,260

Allied World Assurance Company Holdings, Ltd.

Fixed Income Securities Listing as at September 30, 2009

Security ID	Description	Maturity Date		Par		Book Value $		Fair Value $
48542KN62	KANSAS ST DEV FIN AUTH REV MUNI BND REV		4/1/2026		5,835,000		5,808,743		5,889,090
48542KNH8	KANSAS ST DEV FIN AUTH REV MUNI BND REV		6/1/2012		500,000		515,287		549,095
49151EXA6	KENTUCKY ST PRP & BLDG COM MUNI BND REV		10/1/2017		565,000		561,617		641,422
493897AB8	KDRE ABS 07-1A A2 144A		12/10/2043		201,744		201,753		166,705
49474EWA7	KING CNTY WASH MUNI BND GO		1/1/2011		3,000,000		3,021,002		3,125,550
500635AB3	KOREA GAS CORP CORP BND 144A		7/15/2014		675,000		669,568		711,511
50065LAA8	KOREA NATIONAL OIL CORP CORP BND 144A		7/30/2014		1,005,000		998,606		1,030,829
500769CD4	KFW INTERNATIONAL FINANCE INC CORP BND		5/15/2012		60,000,000		61,671,877		64,802,400
501044CM1	KROGER CO CORP BND		10/1/2015		1,200,000		1,198,668		1,206,438
50179MAE1	LBUBS CMBS 06_C6 A4		9/15/2039		50,000,000		49,865,007		44,481,594
508205GV7	LAKE COOK KANE AND MCHENRY CNT MUNI BND GO		12/1/2016		2,385,000		2,422,279		2,776,259
52108H6Y5	LBUBS CMBS 05-C5 AM		9/15/2040		550,000		482,890		405,453
52108HMU5	LBUBS COMM MTG TR CMBS 02_C4 A5		9/15/2031		88,000,000		87,299,039		90,162,570
52108HRB2	LBUBS CMBS03-C3 A3		5/15/2027		706,462		657,681		707,210
52108HUG7	LBUBS SENIOR CMBS03-C5 XCP144A		4/15/2037		41,654,198		150,256		202,902
52108MAF0	LBUBS CMBS05_C7 A4		11/15/2030		1,450,000		1,217,148		1,410,765
52205VAA3	LEASEPLAN CORPORATION NV — GTD CORP BND 144A		5/7/2012		19,200,000		19,195,481		19,744,704
525170BL9	LABS WHOLE CMO 03-1 A1		12/25/2033		16,048,567		14,882,286		15,306,321
52520MBY8	LMT05-2 CMO 05-2 3A1		12/25/2035		4,183,430		2,521,582		2,480,356
525221FY8	LXS ABS05-10 2A1		1/25/2036		384,390		365,062		335,788
525221HA8	LXS WHOLE CMO 06-2N		2/25/2046		5,474,187		2,293,311		2,627,899
52524PAG7	LXS07-16N ABS 07-6 3A1		5/25/2037		15,001,693		8,861,693		8,742,987
532457BD9	ELI LILLY AND COMPANY CORP BND		3/6/2012		16,775,000		16,761,002		17,516,446
542388AD5	LBART06-A 06-A_A4		5/15/2013		23,132,579		23,405,714		23,252,636
546415QH6	LOUISIANA ST MUNI BND GO		4/1/2014		5,000,000		5,266,021		5,520,000
5525V0AU0	MARSHALL & ILSLEY BANK SENIOR CORP BND MTN		6/16/2010		221,000		221,000		211,132
5525V0BC9	MARSHALL & ILSLEY CORPORATION CORP BND		2/12/2010		752,000		752,000		743,878
55262TFJ7	MBNAS ABS 00-E A		10/15/2012		100,000		100,673		103,978
55264TCA7	MBNAS ABS 03-A8 A8		12/17/2012		327,000		325,269		325,458
55265K5Q8	MASTR CMO04-1 3A1		1/25/2034		1,535,084		1,464,676		1,506,482
55608JAB4	MACQUARIE BK LTD CORP BND 144A		8/13/2019		3,000,000		3,036,423		3,173,656
559080AA4	MAGELLAN MIDSTREAM PARTNERS LP SENIOR CORP BND		6/1/2014		15,550,000		15,032,762		16,765,477
565849AG1	MARATHON OIL CORP CORP BND		2/15/2014		2,000,000		2,122,055		2,213,909
567505GY2	MARICOPA CNTY ARIZ UN HIGH SCH MUNI BND GO		7/1/2016		1,125,000		1,156,275		1,321,144
57164TAA6	MVCOT ABS02-1A A1 144A		12/20/2024		149,158		149,158		137,956
574192K66	MARYLAND ST MUNI BND GO		7/15/2013		5,000,000		5,285,412		5,698,750
575296FP8	MASON OHIO CITY SCH DIST MUNI BND GO		12/1/2019		1,000,000		987,627		1,195,710
575579GA9	MASSACHUSETTS BAY TRANSN AUTH MUNI BND REV		7/1/2015		5,000,000		5,419,779		5,982,400
575579RS8	MASSACHUSETTS BAY TRANSN AUTH MUNI BND REV		7/1/2020		35,000		35,222		41,991
575579SL2	MASSACHUSETTS BAY TRANSN AUTH MUNI BND REV		7/1/2020		1,575,000		1,500,579		1,851,617
57582NDE2	MASSACHUSETTS ST MUNI BND GO		2/1/2010		2,000,000		2,016,361		2,034,820
57582PDK3	MASSACHUSETTS ST MUNI BND GO		11/1/2018		2,000,000		1,446,171		1,859,020
57583PDB2	MASSACHUSETTS ST FED HWY MUNI BND REV		6/15/2011		3,250,000		3,328,300		3,439,118
576000AK9	MASSACHUSETTS ST SCH BLDG AUTH MUNI BND REV		8/15/2010		2,000,000		2,031,018		2,079,320
576000BE2	MASSACHUSETTS ST SCH BLDG AUTH MUNI BND REV		8/15/2022		2,000,000		1,873,521		2,259,920
576433QQ2	MARM04-8 WHOLE CMO 04-8		9/25/2034		1,372,045		1,320,298		1,016,685
576433RP3	MARM04-8 WHOLE CMO 04-9		11/25/2034		21,910		23,885		21,803
57643LLC8	MABS ABS 05-AB1 A4		11/25/2035		10,000,000		3,942,787		4,312,000
579780AD9	MCCORMICK & CO INC CORP BND		12/15/2015		1,500,000		1,450,889		1,645,350
58013MEG5	MCDONALD’S CORPORATION SENIOR CORP BND		2/1/2019		450,000		449,867		479,035
58403GAB1	MEDL CMO 07-1G-A1		2/27/2039		552,678		552,678		513,979
585055AP1	MEDTRONIC INC CORP BND		3/15/2014		2,750,000		2,853,927		2,954,166
585907AM0	MELLON BANK N.A. CORP BND		12/15/2014		4,000,000		3,640,927		4,271,366
586158KZ9	MEMPHIS TENN ELEC SYS REV MUNI BND REV		12/1/2014		2,000,000		2,025,269		2,229,140
589331AP2	MERCK & CO INC CORP BND		6/30/2015		9,550,000		9,664,347		9,989,069
589331AR8	MERCK & CO INC CORP BND		6/30/2011		4,000,000		4,000,388		4,049,122
589929W53	MLMI WHOLE 03-A4		7/25/2033		229,087		229,152		211,585
59018YN64	MERRILL LYNCH & CO INC CORP BND MTN		4/25/2018		8,750,000		7,807,266		9,162,280
590645HK6	MESA CNTY COLO MUNI BND REV		6/1/2011		2,090,000		2,136,375		2,230,929

Allied World Assurance Company Holdings, Ltd.

Fixed Income Securities Listing as at September 30, 2009

Security ID	Description	Maturity Date		Par		Book Value $		Fair Value $
592098XJ1	METROPOLITAN GOVT NASHVILLE & MUNI BND REV		1/1/2010		2,000,000		2,015,948		2,028,460
592179JG1	METLIFE INC SENIOR CORP BND 144A		4/10/2013		5,000,000		4,810,477		5,210,915
594918AB0	MICROSOFT CORPORATION CORP BND		6/1/2014		40,350,000		40,313,282		40,719,212
595620AD7	MIDAMERICAN ENERGY HOLDINGS CO CORP BND		10/1/2014		25,800,000		25,977,416		27,369,943
59562VAT4	MIDAMERICAN ENERGY HOLDINGS CO CORP BND		4/1/2018		2,000,000		1,850,185		2,130,183
602248AR7	MILWAUKEE CNTY WIS ARPT REV MUNI BND REV		12/1/2017		1,675,000		1,675,928		1,718,299
603827EJ1	MINN & ST PAUL MET ARPTS REV MUNI BND REV		1/1/2026		2,000,000		2,049,378		2,116,140
604129DZ6	MINNESOTA ST MUNI BND GO		8/1/2010		5,000,000		5,096,010		5,192,000
615337AA0	MONY GRP INC. CORP BND		3/15/2010		8,000,000		8,115,670		8,196,800
615401JW7	MOON AREA SCH DIST PA MUNI BND GO		11/15/2018		1,360,000		1,342,776		1,521,609
617446V71	MORGAN STANLEY CORP BND MTN		8/28/2017		20,500,000		21,248,203		21,263,817
61744YAD0	MORGAN STANLEY CORP BND MTN		12/28/2017		7,000,000		7,193,598		7,109,386
61745M5G4	MSC CMBS05-T19 A4A		6/12/2047		500,000		465,502		479,384
61745M6D0	MSC CMBS05-HQ6 A2A		8/13/2042		500,000		505,133		502,150
61746SBR9	MORGAN STANLEY CORP BND		10/15/2015		3,000,000		2,048,944		3,056,688
61746SBS7	MORGAN STANLEY CORP BND		1/21/2011		20,000,000		20,208,873		20,647,078
61747YCF0	MORGAN STANLEY CORP BND		5/13/2014		1,000,000		1,006,754		1,063,166
61750HAE6	MSC CMBS06-HQ10 A4		11/12/2041		2,500,000		1,981,198		2,471,179
61757UAB6	MORGAN STANLEY CORP BND GOVT GUAR		12/1/2011		9,200,000		9,319,959		9,591,092
61757UAH3	MORGAN STANLEY-GTD CORP BND		6/20/2012		3,750,000		3,748,719		3,791,588
625574HL5	MULTNOMAH CNTY ORE SCH DIST NO MUNI BND GO		6/15/2018		500,000		490,448		580,525
635405AR4	NATIONAL CITY CORPORATION CORP BND		6/16/2010		500,000		452,215		497,540
637432LT0	NATIONAL RURAL UTILITIES SECURED CORP BND		9/16/2012		1,450,000		1,447,868		1,459,835
638539AH9	NATIONAL WESTMINSTER BANK PLC CORP BND		10/1/2009		1,000,000		1,000,000		1,000,000
63866EBL3	NATIONWIDE LIFE GLOBAL FUNDING CORP BND 144A		10/2/2012		600,000		604,228		595,620
63968AQF5	NEBRASKA PUB PWR DIST MUNI BND REV		1/1/2014		6,500,000		6,500,000		6,912,295
64032EAA5	NELNET ABS 07-1 A1		11/27/2018		1,007,706		1,007,706		993,699
644682UL8	NEW HAMPSHIRE ST MUNI BND GO		6/1/2017		1,730,000		1,722,602		2,012,820
64468TRZ2	NEW HAMPSHIRE ST HSG FIN AUTH MUNI BND REV		7/1/2021		60,000		53,115		61,624
64711NJU0	NEW MEXICO FIN AUTH REV MUNI BND REV		6/1/2029		3,790,000		3,790,000		3,848,177
64953BAP3	NEW YORK LIFE GLOBAL FUNDING CORP BND 144A		5/9/2013		5,000,000		4,895,375		5,250,254
64983QWY1	NEW YORK ST DORM AUTH REVS NON MUNI BND REV		8/1/2018		2,000,000		1,978,934		2,289,360
650013T21	NEW YORK ST TWY AUTH MUNI BND REV		4/1/2019		2,000,000		1,933,927		2,231,620
650034X89	NEW YORK ST URBAN DEV CORP MUNI BND REV		3/15/2017		2,050,000		2,116,772		2,457,745
652482BG4	NEWS AMERICA INC CORP BND		12/15/2014		10,000,000		9,934,393		10,805,210
65364UAA4	NIAGARA MOHAWK POWER CORPORATI SENIOR CORP BND 144A		8/15/2019		3,000,000		3,016,508		3,040,393
656491KZ9	NORRISTOWN PA AREA SCH DIST MUNI BND GO		9/1/2021		1,000,000		1,032,210		1,125,280
663903CA8	NORTHEAST OHIO REGL SWR DIST W MUNI BND REV		11/15/2016		1,900,000		1,944,512		2,237,763
66567EBF1	NORTHERN ROCK PLC SENIOR CORP BND 144A		10/20/2009		824,000		824,000		823,415
665859AK0	NORTHERN TRUST COMPANY THE CORP BND		5/1/2014		4,000,000		4,091,264		4,246,513
66989HAA6	NOVARTIS CAPITAL CORP CORP BND		2/10/2014		21,775,000		21,755,266		22,841,620
67021CAB3	NSTAR ELEC CO CORP BND		4/15/2014		5,000,000		5,308,308		5,113,351
674599BX2	OCCIDENTAL PETROLEUM CORP BND		6/1/2016		4,000,000		3,973,027		4,078,864
677520SW9	OHIO ST MUNI BND GO		11/1/2020		2,000,000		1,901,827		2,251,780
677632HM6	OHIO ST UNIV MUNI BND REV		6/1/2011		2,000,000		2,043,941		2,134,860
67766WGU0	OHIO ST WTR DEV AUTH MUNI BND REV		12/1/2019		1,970,000		1,974,626		2,409,724
67908NLN9	OKLAHOMA ST CAPITOL IMPT AUTH MUNI BND REV		7/1/2020		2,000,000		1,915,069		2,194,860
680616PF0	OLENTANGY LOC SCH DIST OHIO MUNI BND GO		12/1/2017		2,000,000		2,006,752		2,310,920
681793T88	OMAHA PUB PWR DIST NEB ELEC RE MUNI BND REV		2/1/2018		2,000,000		1,967,959		2,231,320
68389XAC9	ORACLE CORPORATION CORP BND		4/15/2018		4,000,000		3,798,207		4,417,379
68389XAD7	ORACLE CORPORATION SENIOR CORP BND		4/15/2013		6,675,000		7,083,444		7,232,790
68402LAE4	ORACLE CORP CORP BND		1/15/2011		25,125,000		25,071,145		26,288,214
69331CAE8	PG&E CORPORATION CORP BND		4/1/2014		10,000,000		9,951,234		10,855,959
693476AV5	PNC FUNDING CORP CORP BND		3/10/2010		16,500,000		16,475,783		16,740,565
69371RZJ8	PACCAR FINL SENIOR CORP BND		10/26/2009		360,000		359,995		360,072
69373UAB3	PACCAR INC CORP BND		2/15/2012		4,000,000		3,996,676		4,325,000
694308GP6	PACIFIC GAS AND ELECTRIC CO SENIOR CORP BND		12/1/2013		13,000,000		12,918,519		14,605,126
695114BU1	PACIFICORP CORP BND		11/15/2011		1,000,000		1,010,133		1,106,527
699490AA6	BANQUE NATIONALE DE PARIBAS/NY CORP BND		7/22/2013		500,000		537,271		548,455

Allied World Assurance Company Holdings, Ltd.

Fixed Income Securities Listing as at September 30, 2009

Security ID	Description	Maturity Date		Par		Book Value $		Fair Value $
705220AM3	PECO ENERGY TRANS TR ABS01-A A1		12/31/2010		485,000		488,207		501,708
70686AAB7	PENDE ABS 07-1A 3A 144A		2/12/2016		654,000		654,000		614,760
7091412F1	PENNSYLVANIA ST MUNI BND GO		7/1/2020		1,995,000		1,919,881		2,343,546
713448BK3	PEPSICO INC SENIOR CORP BND		3/1/2014		21,350,000		21,309,554		22,079,660
71419GAB6	PERMM06-1 ABS 06-1 2A		10/15/2015		981,000		981,000		979,646
71419GAJ9	PERMM ABS 07-1 2A1		1/15/2016		981,000		981,000		975,673
717081CZ4	PFIZER INC. CORP BND		3/15/2012		23,925,000		23,897,409		25,360,438
717081DA8	PFIZER INC. CORP BND		3/15/2015		6,000,000		6,443,317		6,628,594
718172AB5	PHILIP MORRIS INTERNATIONAL IN CORP BND		5/16/2013		25,875,000		25,978,573		27,511,291
718814CX2	PHOENIX ARIZ MUNI BND GO		7/1/2010		1,350,000		1,388,747		1,416,258
718849AG7	PHOENIX ARIZ STR & HWY USER RE MUNI BND REV		7/1/2012		1,905,000		1,971,970		2,090,928
721799PX6	PIMA CNTY ARIZ UNI SCH DIST NO MUNI BND GO		7/1/2010		500,000		515,989		523,825
73358WAG9	PORT AUTH NY & NJ MUNI BND REV		12/1/2019		3,500,000		3,500,000		3,774,155
73755LAF4	POTASH CORPORATION OF SASKETCH CORP BND		5/15/2019		2,000,000		2,044,017		2,238,433
737679CW8	POTOMAC ELECTRIC POWER COMPANY CORP BND		11/15/2013		1,200,000		1,080,475		1,260,360
74005PAJ3	PRAXAIR INC. CORP BND		4/1/2012		1,000,000		1,015,064		1,102,663
74005PAU8	PRAXAIR INC. SENIOR CORP BND		8/15/2019		3,000,000		2,999,513		3,070,014
741701WX0	PRINCE GEORGES CNTY MD MUNI BND GO		7/15/2014		4,630,000		4,729,476		5,157,496
742633PD6	PRIOR LAKE MINN INDPT SCH DIST MUNI BND GO		2/1/2020		1,195,000		1,163,999		1,321,957
742651DE9	PRIVATE EXPORT FUNDING CORP AGENCY BND		9/15/2017		44,100,000		44,023,950		48,645,387
742651DG4	PRIVATE EXPORT FUNDING CORP AGENCY BND		3/15/2019		20,000,000		19,900,553		20,284,399
742718DM8	PROCTER & GAMBLE COMPANY CORP BND		2/15/2015		4,000,000		3,984,921		4,094,626
743263AD7	PROGRESS ENERGY INC CORP BND		3/1/2011		10,700,000		11,039,758		11,309,398
743263AM7	PROGRESS ENERGY INC. CORP BND		3/15/2014		8,000,000		7,981,584		8,724,680
744448BU4	PUBLIC SERVICE COLORADO CORP BND		10/1/2012		8,770,000		9,541,910		10,141,936
744448CC3	PUBLIC SERVICE COLORADO CORP BND		6/1/2019		5,000,000		5,151,756		5,319,894
74451PAA1	PUB SERV NC INC CORP BND		2/15/2011		1,550,000		1,593,148		1,637,885
749241AA3	RALI07-QH9 WHOLE CMO 07-QH9 A1		11/25/2037		15,777,534		10,232,553		6,675,869
74958XAB0	RFMSI CMO 07-SA2 2A1		4/25/2037		8,637,902		5,671,897		5,258,754
75405UAE6	RAS LAFFAN LNG 3 SECURED CORP BND 144A		9/30/2012		825,000		824,704		854,469
758202AE5	REED ELSEVIER CAPITAL INC CORP BND		6/15/2010		1,750,000		1,733,634		1,696,800
758202AF2	REED ELSEVIER PLC CORP BND		1/15/2014		16,825,000		16,793,843		19,131,847
759136LA0	REGIONAL TRANSN DIST COLO MUNI BND REV		11/1/2017		1,550,000		1,550,015		1,765,357
75953MAD2	CENTERPOINT ENERGY TRANSITION ABS 01-1 A4		9/15/2015		7,679,577		8,007,016		8,246,253
76110H2P3	RES ASSET SEC WHOLE CMO 05-QA3		3/25/2035		2,136,948		1,982,781		1,284,733
76110HHG7	RFMSI03-Q16 CMO 03-QS16 A1		8/25/2018		10,057,490		9,721,288		9,538,524
761118QM3	RALI05-QS17 WHOLE CMO 05-QO5 A1		1/25/2046		498,750		224,048		270,009
771196AN2	ROCHE HOLDINGS INC CORP BND 144A		3/1/2012		29,000,000		28,875,406		30,570,824
771196AQ5	ROCHE HOLDINGS INC CORP BND 144A		3/1/2014		3,750,000		3,890,282		4,046,846
774341AB7	ROCKWELL COLLINS INC. CORP BND		7/15/2019		1,625,000		1,616,542		1,719,461
77509NAD5	ROGERS CABLE INC. CORP BND		5/1/2012		9,675,000		10,142,688		10,893,713
78008EJT5	ROYAL BANK OF CANADA CORP BND		6/8/2010		1,701,000		1,701,000		1,702,325
780097AE1	ROYAL BANK OF SCOTLAND GRP PLC CORP BND		3/31/2049		4,000,000		3,262,286		3,680,000
780427KA7	ROYAL OAK CITY MICH SCH DIST MUNI BND GO		5/1/2019		2,000,000		1,917,407		2,219,780
7832434J4	RUTHERFORD CNTY TENN MUNI BND GO		6/1/2018		1,430,000		1,431,619		1,641,683
78387GAP8	AT&T INC CORP BND		9/15/2014		4,000,000		3,842,556		4,313,490
78442GHW9	SLMA ABS03-10A A1A 144A		12/15/2016		22,350,000		22,276,746		22,350,000
78442GHZ2	SLMA ABS 03-10A A1D 144A		12/15/2016		5,000,000		4,935,258		4,972,916
78442GJD9	REP FHLP ABS 03-10A A1H 144A		12/15/2016		54,650,000		53,952,857		53,941,258
78442GQR0	SLMA ABS05-8 A4		1/25/2028		425,000		424,911		412,080
78443DAA0	SLMA ABS 07-A A1		9/15/2022		414,775		414,775		379,299
78443YAA4	SLMA ABS 07-3 A1		10/27/2014		218,835		218,835		218,470
78443YAB2	SLMA ABS 07-3 A2		10/25/2017		916,000		916,000		847,098
79548CAB2	SBM7 CMBS00-C3 A2		12/18/2033		430,389		435,457		440,129
795560AR2	SALT LAKE & SANDY UTAH MUNI BND REV		7/1/2020		1,820,000		1,725,374		1,990,589
795685BZ8	SALT LAKE CNTY UTAH SALES TAX MUNI BND REV		8/1/2017		1,550,000		1,551,546		1,773,185
802072KA5	SANTA FE N M GROSS RCPTS TAX MUNI BND REV		6/1/2019		2,000,000		1,920,641		2,162,260
806640PN2	SCHERTZ-CIBOLO-UNVL CITY TEX I MUNI BND GO		2/1/2020		2,025,000		1,924,624		2,242,526
806860AA0	SCHLUMBERGER TECH CORP CORP BND 144A		4/15/2012		1,150,000		1,232,087		1,226,291

Allied World Assurance Company Holdings, Ltd.

Fixed Income Securities Listing as at September 30, 2009

Security ID	Description	Maturity Date		Par		Book Value $		Fair Value $
809326AC5	SCOTLAND INTERNATIONAL FINANCE CORP BND 144A		8/15/2010		600,000		599,187		601,560
812643AP9	SEATTLE WASH MUN LT & PWR REV MUNI BND REV		8/1/2016		1,535,000		1,552,684		1,712,891
822582AF9	SHELL INTL FINAN CORP BND		3/21/2014		1,000,000		1,024,486		1,047,140
822582AG7	SHELL INTL FINAN SENIOR CORP BND		9/22/2011		2,550,000		2,549,899		2,554,339
826502AA4	SRFC ABS07-1A A1 144A		3/20/2019		816,882		703,112		748,100
82651AAA5	SRFC ABS07-2A A1 144A		9/20/2019		2,018,067		1,728,654		1,852,384
82651CAA1	SRFC ABS 09-1A A1 144A		12/22/2025		2,229,182		2,228,971		2,236,003
828807BZ9	SIMON PROPERTY GROUP L.P. CORP BND		5/30/2018		4,000,000		2,674,400		4,030,837
828807CB1	SIMON PROPERTY GROUP L.P. SENIOR CORP BND		5/15/2014		17,675,000		18,542,060		18,921,782
832110AK6	SMITH INTERNATIONAL INC. CORP BND		3/15/2014		2,000,000		1,993,981		2,259,147
833034AC5	SNAP-ON INCORPORATED CORP BND		8/15/2011		1,400,000		1,440,603		1,514,432
833656AD3	SOCIETE FINANCEMENT DE L ECONO CORP BND 144A		10/29/2010		18,000,000		18,011,445		18,167,580
833656AE1	SOCIETE FINANCEMENT DE L ECONO CORP BND 144A		5/5/2014		40,000,000		40,183,110		41,232,000
837562KS5	SOUTH DAKOTA ST UNIV MUNI BND REV		4/1/2020		1,545,000		1,455,755		1,635,491
842434CA8	SOUTHERN CALIFORNIA GAS CO CORP BND		10/1/2012		700,000		678,601		758,024
842434CF7	SOUTHERN CALIFORNIA GAS CO CORP BND		12/1/2009		1,000,000		998,379		1,000,496
842587CE5	SOUTHERN COMPANY CORP BND		5/15/2014		13,675,000		13,687,226		13,864,580
846042AA7	SOVEREIGN BANK — GTD CORP BND GOVT GUAR		1/17/2012		2,000,000		1,998,588		2,063,360
851018HL8	SPRINGFIELD MO PUB UTIL REV MUNI BND REV		8/1/2014		1,000,000		1,028,891		1,144,210
855030AJ1	STAPLES INC. CORP BND		1/15/2014		2,000,000		2,044,151		2,395,000
857477AE3	STATE STREET CORPORATION CORP BND		5/30/2014		1,750,000		1,748,454		1,835,101
85771SAA4	STATOIL ASA CORP BND		4/15/2019		6,000,000		6,057,818		6,462,483
85771SAB2	STATOIL ASA CORP BND		4/15/2014		16,000,000		15,993,775		16,611,061
863579J90	SARM CMO SARM 05-22 1A4		12/25/2035		9,945,000		3,008,429		3,885,360
863579KY3	SARM WHOLE CMO 05-1		2/25/2035		3,023,553		2,804,544		1,957,751
86359A5B5	SASC CMO 03-34A 3A3		11/25/2033		438,215		321,346		390,012
86359BGD7	STRUCTURED ASSET SEC CORP WHOLE CMO 04-1		2/25/2034		158,686		166,111		122,458
86359BVE8	STRUCTURED ASSET SEC CORP WHOLE CMO 04-6		6/25/2034		11,445,607		10,900,130		9,156,486
86364RAA7	SAMI07-AR6 WHOLE CMO 07-AR6 A1		8/25/2047		17,818,006		7,234,374		8,194,501
86787ARV9	SUNTRUST BK ATLANTA GA CORP BND		1/29/2010		1,190,000		1,190,000		1,189,262
86959LAA1	SVENSKA HANDELSBANKEN AB CORP BND 144A		6/10/2014		4,000,000		3,989,560		4,189,520
87244EAA0	TIAA GLOBAL MARKETS CORP BND 144A		1/12/2011		10,250,000		10,248,369		10,645,298
87244EAC6	TIAA GLOBAL MARKETS CORP BND 144A		10/10/2012		3,000,000		3,182,993		3,252,130
879385AC6	TELEFONICA EUROPE CORP BND		9/15/2010		19,500,000		20,101,317		20,669,998
880557WZ2	TENNESSEE ST SCH BD AUTH MUNI BND REV		5/1/2013		400,000		405,661		411,888
880591DT6	TENNESSEE VALLEY AUTHORITY AGENCY BND		5/23/2012		22,679,000		23,492,616		25,614,570
882720R56	TEXAS ST MUNI BND GO		10/1/2010		2,000,000		2,035,158		2,090,120
88283LCS3	TEXAS TRANSN COMMN ST HWY FD MUNI BND REV		4/1/2022		2,000,000		1,882,509		2,235,340
884903AU9	THOMSON REUTERS CORP CORP BND		5/28/2010		1,600,000		1,597,312		1,640,018
88522AAC5	THORNBURG MORTGAGE SECURITIES CMO 06-4 A2B		7/25/2036		11,378,756		10,403,541		10,923,606
88732JAS7	TIME WARNER CABLE INC CORP BND		4/1/2019		10,250,000		10,611,737		12,375,850
8935268Y2	TRANSCANADA PIPELINES LIMITED CORP BND		1/15/2019		4,000,000		4,578,610		4,671,034
893526CC5	TRANSCANADA PIPELINES LIMITED CORP BND		5/15/2012		11,675,000		12,701,936		13,343,576
89352HAA7	TRANS-CANADA PIPELINES CORP BND		6/15/2013		1,800,000		1,567,348		1,832,883
90331HKP7	U.S. BANK NATIONAL ASSOCIATION CORP BND		10/30/2014		2,750,000		2,776,491		2,944,736
90466GAB8	UNICREDITO LUXEM FIN CORP BND 144A		1/13/2017		21,750,000		21,750,000		18,690,260
904764AG2	UNILEVER CAPITAL CORP CORP BND		11/1/2010		1,500,000		1,539,144		1,595,984
904764AJ6	UNILEVER CAPITAL CORP CORP BND		2/15/2014		28,000,000		27,967,488		28,891,705
907818CV8	UNION PACIFIC CO CORP BND		1/15/2015		1,150,000		1,158,202		1,207,588
911312AL0	UNITED PARCEL SERVICE INC CORP BND		4/1/2014		3,450,000		3,443,089		3,617,830
91159HGJ3	US BANCORP CORP BND		7/29/2010		24,000,000		24,160,555		24,781,722
91159HGR5	US BANCORP CORP BND		5/15/2014		3,700,000		3,747,634		3,854,593
91160HAA5	US BANCORP — (LT) GTD CORP BND		3/13/2012		4,100,000		4,099,596		4,179,950
912810DW5	UNITED STATES TREASURY GOVT BND		5/15/2016		310,000		371,046		392,730
912810EZ7	UNITED STATES TREASURY GOVT BND		2/15/2027		2,475,000		3,067,973		3,282,889
912810FS2	UNITED STATES TREASURY GOVT IBND TIPS		1/15/2026		4,000,000		3,710,574		4,343,465
912810FT0	UNITED STATES TREASURY GOVT BND		2/15/2036		8,000,000		7,781,540		8,596,480
912810PS1	UNITED STATES TREASURY GOVT IBND TIPS		1/15/2027		6,900,000		7,247,636		7,773,560
9128275Z1	UNITED STATES TREASURY GOVT BND		2/15/2010		1,550,000		1,568,948		1,586,254

Allied World Assurance Company Holdings, Ltd.

Fixed Income Securities Listing as at September 30, 2009

Security ID	Description	Maturity Date		Par		Book Value $		Fair Value $
9128277L0	UNITED STATES TREASURY GOVT BND		2/15/2012		1,155,000		1,215,895		1,256,455
912828AJ9	UNITED STATES TREASURY GOVT BND		8/15/2012		500,000		516,891		542,845
912828AP5	UNITED STATES TREASURY GOVT BND		11/15/2012		2,465,000		2,631,545		2,658,379
912828BA7	UNITED STATES TREASURY GOVT BND		5/15/2013		7,565,000		8,102,618		8,072,763
912828BR0	UNITED STATES TREASURY GOVT BND		11/15/2013		335,000		353,736		365,874
912828CA6	UNITED STATES TREASURY GOVT BND		2/15/2014		1,490,000		1,626,721		1,611,808
912828CP3	UNITED STATES TREASURY GOVT IBND TIPS		7/15/2014		11,000,000		10,709,659		13,087,576
912828CT5	UNITED STATES TREASURY GOVT BND		8/15/2014		16,440,000		16,040,213		17,974,838
912828DE7	UNITED STATES TREASURY GOVT BND		12/15/2009		7,000,000		6,999,474		7,047,460
912828DG2	UNITED STATES TREASURY GOVT BND		1/15/2010		50,000		49,870		50,500
912828DM9	UNITED STATES TREASURY GOVT BND		2/15/2015		6,955,000		7,624,395		7,494,222
912828DV9	UNITED STATES TREASURY GOVT BND		5/15/2015		9,100,000		10,074,500		9,855,392
912828EA4	UNITED STATES TREASURY GOVT IBND TIPS		7/15/2015		5,800,000		6,284,259		6,653,221
912828EE6	UNITED STATES TREASURY GOVT BND		8/15/2015		1,000,000		1,117,390		1,089,220
912828EM8	UNITED STATES TREASURY GOVT BND		11/15/2010		1,700,000		1,699,653		1,776,534
912828EN6	UNITED STATES TREASURY GOVT BND		11/15/2015		250,000		294,235		275,718
912828EW6	UNITED STATES TREASURY GOVT BND		2/15/2016		1,000,000		1,132,864		1,103,200
912828FA3	UNITED STATES TREASURY GOVT BND		3/31/2011		1,090,000		1,153,230		1,156,523
912828FN5	UNITED STATES TREASURY GOVT BND		7/31/2011		4,500,000		4,745,528		4,830,345
912828FQ8	UNITED STATES TREASURY GOVT BND		8/15/2016		128,000,000		128,926,310		144,042,236
912828FY1	UNITED STATES TREASURY GOVT BND		11/15/2016		5,235,000		5,552,596		5,803,678
912828GA2	UNITED STATES TREASURY GOVT BND		11/30/2011		1,050,000		1,124,539		1,127,511
912828GC8	UNITED STATES TREASURY GOVT BND		12/31/2011		500,000		528,462		539,140
912828GM6	UNITED STATES TREASURY GOVT BND		3/31/2012		1,025,000		1,106,012		1,108,251
912828HA1	UNITED STATES TREASURY GOVT BND		8/15/2017		9,000,000		9,533,738		10,030,950
912828HC7	UNITED STATES TREASURY GOVT BND		8/31/2012		1,000,000		1,080,276		1,078,660
912828HH6	UNITED STATES TREASURY GOVT BND		11/15/2017		57,700,000		58,004,361		62,186,753
912828HN3	UNITED STATES TREASURY GOVT IBND TIPS		1/15/2018		3,000,000		3,075,771		3,125,297
912828HT0	UNITED STATES TREASURY GOVT BND		2/28/2013		6,000,000		6,249,963		6,229,620
912828HY9	UNITED STATES TREASURY GOVT BND		4/30/2013		1,200,000		1,262,915		1,260,132
912828JF8	UNITED STATES TREASURY GOVT BND		7/31/2010		7,750,000		7,829,530		7,903,838
912828JK7	UNITED STATES TREASURY GOVT BND		8/31/2013		1,525,000		1,604,154		1,598,276
912828JQ4	UNITED STATES TREASURY GOVT BND		10/31/2013		1,500,000		1,499,420		1,548,285
912828JX9	UNITED STATES TREASURY GOVT IBND		1/15/2019		1,000,000		1,075,918		1,056,160
912828JZ4	UNITED STATES TREASURY GOVT BND		1/31/2014		6,000,000		5,972,300		5,925,420
912828KJ8	UNITED STATES TREASURY GOVT BND		3/31/2014		50,300,000		50,050,097		49,504,254
912828KN9	UNITED STATES TREASURY GOVT BND		4/30/2014		750,000		745,771		741,225
912828KQ2	UNITED STATES TREASURY GOVT BND		5/15/2019		60,000,000		57,209,140		59,044,199
912828KW9	UNITED STATES TREASURY GOVT BND		5/31/2016		126,800,000		127,212,600		129,934,486
912828KY5	UNITED STATES TREASURY GOVT BND		6/30/2014		211,995,000		213,769,925		215,789,713
912828LL2	UNITED STATES TREASURY GOVT BND		8/31/2016		17,200,000		17,210,750		17,306,122
912833JY7	UNITED STATES TREASURY PO		5/15/2012		600,000		537,699		582,714
913017BC2	UNITED TECHNOLOGIES CORP CORP BND		11/15/2010		1,000,000		1,027,158		1,061,615
914119HX3	UNIVERSITY CINCINNATI OHIO MUNI BND REV		6/1/2018		2,015,000		1,942,133		2,226,918
914437PF9	UNIVERSITY MASS BLDG AUTH MUNI BND REV		11/1/2019		1,530,000		1,456,588		1,668,434
915506KJ7	UPPER ARLINGTON OHIO CITY SCH MUNI BND GO		12/1/2021		1,250,000		1,178,842		1,397,600
92343VAN4	VERIZON COMMUNICATIONS INC. SENIOR CORP BND		4/15/2013		4,000,000		3,907,927		4,332,281
92344SAH3	CELLCO PARTNERSHIP CORP BND 144A		11/15/2013		4,550,000		4,894,338		5,217,481
92344SAL4	VERIZON WIRELESS CAPITAL CORP BND 144A		2/1/2014		6,150,000		6,115,029		6,647,597
92344SAM2	VERIZON WIRELESS CAPITAL CORP BND 144A		2/1/2012		3,750,000		3,838,233		3,961,556
92344SAR1	VERIZON WIRELESS CAPITAL CORP BND 144A		5/20/2011		33,275,000		33,253,547		34,265,581
92553PAE2	VIACOM INC SENIOR CORP BND		9/15/2014		2,000,000		2,012,846		2,040,587
927749DT5	VIRGINIA BEACH VA MUNI BND REV		10/1/2019		1,735,000		1,691,680		1,930,361
927790BK0	VIRGINIA COMWLTH TRANSN BRD MUNI BND REV		10/1/2011		5,000,000		5,182,202		5,418,500
928109SB4	VIRGINIA ST MUNI BND GO		6/1/2012		950,000		993,127		1,051,327
928109SK4	VIRGINIA ST MUNI BND GO		6/1/2012		4,050,000		4,233,859		4,489,223
928172MS1	VIRGINIA ST PUB BLDG AUTH MUNI BND REV		8/1/2017		1,260,000		1,271,291		1,437,962
92817LEM1	VIRGINIA ST RES AUTH CLEAN WTR MUNI BND REV		10/1/2010		2,000,000		2,041,469		2,090,540
92817LFB4	VIRGINIA ST RES AUTH CLEAN WTR MUNI BND REV		10/1/2020		2,500,000		2,551,685		3,173,400

Allied World Assurance Company Holdings, Ltd.

Fixed Income Securities Listing as at September 30, 2009

Security ID	Description	Maturity Date		Par		Book Value $		Fair Value $
92857TAG2	VODAFONE GROUP PLC CORP BND		2/15/2010		16,800,000		16,951,987		17,226,369
92867AAD8	VALET ABS 07-1 A4		7/22/2013		159,651		159,651		159,032
92922F4M7	WASHINGTON MUTUAL CMO 2005-AR13 A1A1		10/25/2045		1,459,908		804,908		839,301
92922F4P0	WAMU CMO05-AR13 A1A3		10/25/2045		7,189,179		3,878,966		4,264,621
92922F7P7	WASHINGTON MUTUAL CMO 2005-AR17 A1A1		12/25/2045		10,362,385		6,120,884		6,424,678
92922FB49	WASHINGTON MUTUAL CMO 04-A13-A1A		11/25/2034		484,883		262,982		274,473
92922FZF8	WAMU04-A12 CMO 2004-A12 A2A		10/25/2044		8,995,206		5,038,625		3,210,516
92925DAB6	WAMU CMO06-AR17 1A1A		12/25/2046		4,261,529		2,010,371		2,023,374
92927BAA0	WAMU07-OA6 CMO 07-OA6 1A		7/25/2047		24,610,705		11,674,231		13,185,825
92933WAA6	WEA FINANCE LLC/WT FINANCE AUS CORP BND 144A		9/2/2015		3,000,000		2,971,170		3,004,427
9297664Q3	WBCMT CMBS 05_C20 A7		7/15/2042		500,000		470,418		483,774
9297667G2	WACHOVIA BANK COMM MTG TR SENIOR CMBS 05-C21		10/15/2044		26,000,000		25,882,959		25,672,163
92976WBE5	WACHOVIA CORPORATION CORP BND		7/26/2010		1,046,000		1,046,000		1,046,418
92979EAG8	WAOT ABS08-A A4B		3/20/2014		3,000,000		2,734,531		2,956,260
929903DT6	WACHOVIA CORPORATION CORP BND		6/15/2017		25,300,000		26,051,653		26,734,017
931142CN1	WAL-MART STORES INC CORP BND		2/3/2014		4,000,000		3,983,919		4,053,796
931142CQ4	WAL-MART STORES INC CORP BND		5/15/2014		29,800,000		29,796,305		30,483,071
931422AE9	WALGREEN CO CORP BND		1/15/2019		1,500,000		1,490,271		1,631,071
938234MJ7	WASHINGTON CNTY ORE MUNI BND GO		6/1/2020		1,035,000		989,281		1,188,232
93974A7Q1	WASHINGTON STATE MUNI BND GO		1/1/2020		2,000,000		1,911,937		2,210,360
940773U28	WASHOE CNTY NEV MUNI BND GO		7/1/2023		3,000,000		3,025,683		3,045,300
949744AA4	WELLS FARGO & COMPANY — GTD CORP BND GOVT GUAR		12/9/2011		24,800,000		24,770,984		25,716,608
949746NJ6	WELLS FARGO & COMPANY CORP BND		8/26/2011		6,000,000		6,008,059		6,372,093
94974BAZ3	WELLS FARGO & COMPANY SENIOR CORP BND		10/29/2010		14,000,000		13,808,696		14,413,512
94974BBT6	WELLS FARGO & COMPANY SENIOR CORP BND		3/22/2010		1,439,000		1,439,000		1,439,288
94974BEJ5	WELLS FARGO & COMPANY CORP BND		6/18/2010		2,119,000		2,119,000		2,114,514
94974BEP1	WELLS FARGO & COMPANY CORP BND		1/24/2011		1,177,000		1,175,537		1,176,388
949781AA6	WFMBS WHOLE CMO 05-AR1		2/25/2035		4,727,792		4,669,178		4,065,901
94981QAA6	WFMBS WHOLE CMO 05-AR16		10/25/2035		723,490		590,194		691,716
94982BAG5	WFMBS WHOLE CMO 05-AR8 3A2		6/25/2035		7,240,984		7,331,727		6,795,663
952030WE0	WEST CHESTER PA AREA SCH DIST MUNI BND GO		5/15/2013		1,510,000		1,556,257		1,704,941
961214BH5	WESTPAC BANKING SENIOR CORP BND		2/27/2015		42,775,000		42,732,048		43,353,761
967338KS2	WICHITA KANS MUNI BND REV		10/1/2010		2,000,000		2,035,942		2,075,380
971567KU5	WILMINGTON DEL MUNI BND GO		6/1/2017		1,000,000		998,869		1,177,430
977056D31	WISCONSIN ST MUNI BND GO		5/1/2014		5,000,000		5,215,060		5,402,550
97705LFY8	WISCONSIN ST MUNI BND GO		5/1/2017		2,500,000		2,482,718		2,821,125
983024AA8	WYETH CORP BND		3/15/2013		5,000,000		5,375,403		5,438,330
98385XAT3	XTO ENERGY INC. CORP BND		12/15/2018		18,375,000		18,333,325		20,233,027
D20658NG7	DEUTSCHE BUNDESREPUBLIK GOVT BND		1/4/2010		12,280,000		15,871,789		18,163,138
D20658YB6	GOVERNMENT OF GERMANY GOVT BND		7/4/2014		5,600,000		9,057,588		8,867,211
D4085B7F2	KREDITANSTALT FUER WIDERAUFBAU CORP BND		5/28/2013		42,000,000		42,411,417		42,395,640
G0501WAD8	ARRAN ABS 05-B A1		12/15/2012		240,000		240,000		232,968
G92444AB7	UK CONV GILT GOVT BND		3/7/2011		1,750,000		3,380,068		2,934,048
G92450DU9	UNITED KINGDOM GILT		12/7/2009		9,370,000		17,086,340		15,132,771
U45818RF7	INTER-AMERICAN DEV BK SENIOR CORP BND EMTN		3/24/2015		23,000,000		18,945,958		20,787,399
U45942EV4	INTERNATIONAL FINANCE CO SENIOR CORP BND MTN		5/20/2011		5,500,000		5,538,459		5,883,130
V05973JU3	AFRICAN DEVELOPMENT BANK SENIOR CORP BND MTN		2/27/2014		20,000,000		16,241,278		18,291,780
Y0338TDY5	ASIAN DEVELOPMENT BANK CORP BND MTN		12/10/2014		10,000,000		8,138,930		9,011,090
Y0338TGD8	ASIAN DEVELOPMENT BANK SENIOR CORP BND MTN		5/22/2015		27,700,000		22,162,396		24,365,473
Grand Total					7,162,790,317		6,815,657,522		7,046,079,865