exv99w2

CAUTIONARY STATEMENT REGARDING FORWARD-LOOKING STATEMENTS

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

Page 2

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


		Page
	Basis of Presentation		4

I.	Financial Highlights
	- Consolidated Financial Highlights		5

II.	Consolidated Results
	- Consolidated Statements of Operations - Consecutive Quarters		6
	- Consolidated Statements of Operations - Year to Date		7
	- Consolidated Premium Distribution Analysis by Segment and Geographic Location - Current Quarter		8
	- Consolidated Premium Distribution Analysis by Line of Business - Current Quarter		9
	- Consolidated Premium Distribution Analysis by Segment and Geographic Location - Year to Date		10
	- Consolidated Premium Distribution Analysis by Line of Business - 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 Total Investment Portfolio		17
	- Investment Portfolio - Additional Detail		18
	- Reserves for Losses and Loss Expenses		21
	- Capital Structure and Leverage Ratios		22

V.	Other
	- Share Repurchase Detail - Current Year to Date		23
	- Operating Income Reconciliation and Basic and Diluted Earnings per Share - Consecutive Quarters		24
	- Operating Income Reconciliation and Basic and Diluted Earnings per Share - Year to Date		25
	- Return on Average Shareholders' Equity and Reconciliation of Average Shareholders' Equity - Consecutive Quarters		26
	- Return on Average Shareholders' Equity and Reconciliation of Average Shareholders' Equity - Year to Date		27
	- Diluted Book Value per Share		28
	- Calculation of Annualized Investment Book Yield		29
	- Financial Statement Portfolio Return - Current Year to Date		31
	- Regulation G		32

Page 3

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG
BASIS OF PRESENTATION

DEFINITIONS AND PRESENTATION

- All financial information contained herein is unaudited.

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

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

- In presenting the company’s results, management has included and discussed certain “non-GAAP” financial measures, as such term is defined in Regulation G promulgated by the SEC. Management believes that these non-GAAP measures, which may be defined differently by other companies, better explain the company’s results of operations in a manner that allows for a more complete understanding of the underlying trends in the company’s business. However, these measures should not be viewed as a substitute for those determined in accordance with generally accepted accounting principles (“GAAP”). The reconciliation of such non-GAAP financial measures to their respective most directly comparable GAAP financial measures in accordance with Regulation G is included in this financial supplement. See page 32 for further details.

Page 4

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG
CONSOLIDATED FINANCIAL HIGHLIGHTS


		THREE MONTHS ENDED						NINE MONTHS ENDED						Previous			Previous
		SEPTEMBER 30,						SEPTEMBER 30,						Quarter			Year to Date
		2011			2010			2011			2010			Change			Change
HIGHLIGHTS	Gross premiums written	$	442,698		$	378,445		$	1,522,984		$	1,376,455			17.0	%		10.6	%
	Net premiums written		350,260			302,169			1,226,934			1,105,256			15.9	%		11.0	%
	Net premiums earned		371,340			339,496			1,061,523			1,016,744			9.4	%		4.4	%
	Net investment income		47,883			59,479			150,459			193,975			(19.5	%)		(22.4	%)
	Net (loss) income		(10,972	)		254,520			91,448			572,219			(104.3	%)		(84.0	%)
	Operating income		86,164			143,552			89,005			300,543			(40.0	%)		(70.4	%)
	Total investments and cash & cash equivalents		8,443,332			8,082,961			8,443,332			8,082,961			4.5	%		4.5	%
	Total assets		10,833,820			10,216,461			10,833,820			10,216,461			6.0	%		6.0	%
	Total shareholders’ equity		3,003,074			3,341,314			3,003,074			3,341,314			(10.1	%)		(10.1	%)
	Cash flows from operating activities		129,659			113,589			491,505			419,191			14.1	%		17.3	%

PER SHARE AND SHARE DATA	Basic earnings per share Net (loss) income	$	(0.29	)	$	5.59		$	2.40		$	11.78			(105.2	%)		(79.6	%)
	Operating income	$	2.26		$	3.15		$	2.34		$	6.19			(28.3	%)		(62.2	%)
	Diluted earnings per share Net (loss) income	$	(0.29)	*	$	5.21		$	2.30		$	11.03			(105.6	%)		(79.1	%)
	Operating income	$	2.19		$	2.94		$	2.24		$	5.79			(25.5	%)		(61.3	%)
	Weighted average common shares outstanding
	Basic		38,110,368			45,544,060			38,078,116			48,580,541
	Diluted		39,340,710	*		48,839,991			39,759,780			51,887,390
	Book value per share	$	78.73		$	78.81		$	78.73		$	78.81			(0.1	%)		(0.1	%)
	Diluted book value per share	$	75.82		$	72.40		$	75.82		$	72.40			4.7	%		4.7	%

FINANCIAL RATIOS	Annualized return on average equity (ROAE), net (loss) income		(1.5	%)		31.0	%		4.1	%		24.2	%	(32.5)		pts	(20.1)		pts
	Annualized ROAE, operating income		11.5	%		17.5	%		4.0	%		12.7	%	(6.0)		pts	(8.7)		pts
	Annualized investment book yield		2.4	%		2.9	%		2.6	%		3.4	%	(0.5)		pts	(0.8)		pts

	Loss and loss expense ratio		55.4	%		37.4	%		70.3	%		53.9	%	18.0		pts	16.4		pts
	Acquisition cost ratio		10.7	%		12.3	%		11.4	%		11.9	%	(1.6)		pts	(0.5)		pts
	General and administrative expense ratio		17.8	%		20.6	%		19.0	%		19.8	%	(2.8)		pts	(0.8)		pts

	Expense ratio		28.5	%		32.9	%		30.4	%		31.7	%	(4.4)		pts	(1.3)		pts

	Combined ratio		83.9	%		70.3	%		100.7	%		85.6	%	13.6		pts	15.1		pts


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

Page 5

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


	THREE MONTHS ENDED			THREE MONTHS ENDED			THREE MONTHS ENDED			THREE MONTHS ENDED			THREE MONTHS ENDED
	SEPTEMBER 30, 2011			JUNE 30, 2011			MARCH 31, 2011			DECEMBER 31, 2010			SEPTEMBER 30, 2010
Revenues
Gross premiums written	$	442,698		$	519,598		$	560,688		$	381,942		$	378,445
Net premiums written	$	350,260		$	395,803		$	480,871		$	287,199		$	302,169

Net premiums earned	$	371,340		$	355,307		$	334,876		$	342,804		$	339,496
Net investment income		47,883			52,368			50,208			50,168			59,479
Net realized investment (losses) gains		(130,809	)		58,878			50,376			(3,738	)		116,930
Other income		35,000			—			—			—			—

Total revenues	$	323,414		$	466,553		$	435,460		$	389,234		$	515,905


Expenses
Net losses and loss expenses:
Current year	$	267,070		$	279,514		$	348,802		$	233,950		$	228,362
Prior years		(61,524	)		(43,701)	*		(44,350	)		(73,931	)		(101,374	)

Total net losses and loss expenses	$	205,546		$	235,813		$	304,452		$	160,019		$	126,988
Acquisition costs		39,680			42,971			38,082			38,848			41,919
General and administrative expenses		66,007			67,201			67,956			85,134			69,871
Amortization and impairment of intangible assets		767			766			767			808			892
Interest expense		13,748			13,745			13,742			11,650			9,533
Foreign exchange loss (gain)		2,966			1,184			(442	)		196			(1,387	)

Total expenses	$	328,714		$	361,680		$	424,557		$	296,655		$	247,816


(Loss) Income before income taxes	$	(5,300	)	$	104,873		$	10,903		$	92,579		$	268,089
Income tax expense (benefit)		5,672			11,073			2,283			(207	)		13,569

Net (loss) income	$	(10,972	)	$	93,800		$	8,620		$	92,786		$	254,520


GAAP Ratios
Loss and loss expense ratio		55.4	%		66.4	%		90.9	%		46.7	%		37.4	%
Acquisition cost ratio		10.7	%		12.1	%		11.4	%		11.3	%		12.3	%
General and administrative expense ratio		17.8	%		18.9	%		20.3	%		24.8	%		20.6	%

Expense ratio		28.5	%		31.0	%		31.7	%		36.1	%		32.9	%

Combined ratio		83.9	%		97.4	%		122.6	%		82.8	%		70.3	%


Per Share Data
Basic earnings per share
Net (loss) income	$	(0.29	)	$	2.45		$	0.23		$	2.30		$	5.59
Operating income (loss)	$	2.26		$	1.15		$	(1.08	)	$	2.41		$	3.15
Diluted earnings per share
Net (loss) income	$	(0.29	)	$	2.36		$	0.21		$	2.13		$	5.21
Operating income (loss)	$	2.19		$	1.11		$	(1.02	)	$	2.24		$	2.94


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

Page 6

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


	NINE MONTHS ENDED			NINE MONTHS ENDED
	SEPTEMBER 30, 2011			SEPTEMBER 30, 2010
Revenues
Gross premiums written	$	1,522,984		$	1,376,455
Net premiums written		1,226,934			1,105,256

Net premiums earned	$	1,061,523		$	1,016,744
Net investment income		150,459			193,975
Net realized investment (losses) gains		(21,555	)		289,350
Net impairment charges recognized in earnings		—			(168	)
Other income		35,000			913

Total revenues	$	1,225,427		$	1,500,814


Expenses
Net losses and loss expenses:
Current year	$	895,386		$	778,424
Prior years		(149,575)	*		(230,560)	**

Total net losses and loss expenses		745,811			547,864
Acquisition costs		120,733			120,641
General and administrative expenses		201,164			201,423
Amortization and impairment of intangible assets		2,300			2,675
Interest expense		41,235			28,592
Foreign exchange loss		3,708			248

Total expenses	$	1,114,951		$	901,443


Income before income taxes	$	110,476		$	599,371
Income tax expense		19,028			27,152

Net income	$	91,448		$	572,219


GAAP Ratios
Loss and loss expense ratio		70.3	%		53.9	%
Acquisition cost ratio		11.4	%		11.9	%
General and administrative expense ratio		19.0	%		19.8	%

Expense ratio		30.4	%		31.7	%

Combined ratio		100.7	%		85.6	%


Per Share Data
Basic earnings per share
Net income	$	2.40		$	11.78
Operating income	$	2.34		$	6.19
Diluted earnings per share
Net income	$	2.30		$	11.03
Operating income	$	2.24		$	5.79


*		Includes prior year reserve development of $161.1 million and the impact of a commutation, which increased prior years net losses and loss expenses by $11.5 million.

**		Includes prior year reserve development of $239.4 million and the impact of a commutation, which increased prior years net losses and loss expenses by $8.9 million.

Page 7

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG
CONSOLIDATED SEGMENT RESULTS
FOR THE THREE MONTHS ENDED SEPTEMBER 30, 2011


	U.S.			INTERNATIONAL						CONSOLIDATED
	INSURANCE			INSURANCE			REINSURANCE			TOTALS
Revenues
Gross premiums written	$	201,522		$	109,612		$	131,564		$	442,698
Net premiums written	$	157,310		$	61,386		$	131,564		$	350,260

Net premiums earned	$	150,474		$	80,175		$	140,691		$	371,340

Total revenues	$	150,474		$	80,175		$	140,691		$	371,340


Expenses
Net losses and loss expenses:
Current year	$	107,585		$	63,516		$	95,969		$	267,070
Prior years		(21,865	)		(19,850	)		(19,809	)		(61,524	)

Total net losses and loss expenses	$	85,720		$	43,666		$	76,160		$	205,546
Acquisition costs		19,549			(343	)		20,474			39,680
General and administrative expenses		28,945			21,558			15,504			66,007

Total expenses	$	134,214		$	64,881		$	112,138		$	311,233


Underwriting income	$	16,260		$	15,294		$	28,553		$	60,107
Net investment income										$	47,883
Net realized investment losses											(130,809	)
Other income — termination fee											35,000
Amortization and impairment of intangible assets											(767	)
Interest expense											(13,748	)
Foreign exchange loss											(2,966	)

Loss before income taxes										$	(5,300	)


GAAP Ratios
Loss and loss expense ratio		57.0	%		54.5	%		54.1	%		55.4	%
Acquisition cost ratio		13.0	%		(0.4	%)		14.6	%		10.7	%
General and administrative expense ratio		19.2	%		26.9	%		11.0	%		17.8	%

Expense ratio		32.2	%		26.5	%		25.6	%		28.5	%

Combined ratio		89.2	%		81.0	%		79.7	%		83.9	%

Page 12

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG
CONSOLIDATED SEGMENT RESULTS
FOR THE THREE MONTHS ENDED SEPTEMBER 30, 2010


	U.S.			INTERNATIONAL						CONSOLIDATED
	INSURANCE			INSURANCE			REINSURANCE			TOTALS
Revenues
Gross premiums written	$	181,232		$	100,858		$	96,355		$	378,445
Net premiums written	$	140,481		$	65,520		$	96,168		$	302,169

Net premiums earned	$	129,650		$	80,557		$	129,289		$	339,496

Total revenues	$	129,650		$	80,557		$	129,289		$	339,496


Expenses
Net losses and loss expenses:
Current year	$	80,622		$	71,810		$	75,930		$	228,362
Prior years		(25,478	)		(60,770	)		(15,126	)		(101,374	)

Total net losses and loss expenses	$	55,144		$	11,040		$	60,804		$	126,988
Acquisition costs		18,081			(29	)		23,867			41,919
General and administrative expenses		31,781			22,819			15,271			69,871

Total expenses	$	105,006		$	33,830		$	99,942		$	238,778


Underwriting income	$	24,644		$	46,727		$	29,347		$	100,718

Net investment income										$	59,479
Net realized investment gains											116,930
Amortization and impairment of intangible assets											(892	)
Interest expense											(9,533	)
Foreign exchange gain											1,387


Income before income taxes										$	268,089


GAAP Ratios
Loss and loss expense ratio		42.5	%		13.7	%		47.0	%		37.4	%
Acquisition cost ratio		13.9	%		0.0	%		18.5	%		12.3	%
General and administrative expense ratio		24.5	%		28.3	%		11.8	%		20.6	%

Expense ratio		38.4	%		28.3	%		30.3	%		32.9	%

Combined ratio		80.9	%		42.0	%		77.3	%		70.3	%

Page 13

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG
CONSOLIDATED SEGMENT RESULTS
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2011


	U.S.			INTERNATIONAL						CONSOLIDATED
	INSURANCE			INSURANCE			REINSURANCE			TOTALS
Revenues
Gross premiums written	$	611,562		$	399,530		$	511,892		$	1,522,984
Net premiums written	$	470,099		$	245,281		$	511,554		$	1,226,934

Net premiums earned	$	431,812		$	236,421		$	393,290		$	1,061,523

Total revenues	$	431,812		$	236,421		$	393,290		$	1,061,523


Expenses
Net losses and loss expenses:
Current year	$	292,498		$	247,425		$	355,463		$	895,386
Prior years		1,648	*		(60,493	)		(90,730	)		(149,575)	**

Total net losses and loss expenses	$	294,146		$	186,932		$	264,733		$	745,811
Acquisition costs		56,527			(2,946	)		67,152			120,733
General and administrative expenses		90,997			62,939			47,228			201,164

Total expenses	$	441,670		$	246,925		$	379,113		$	1,067,708


Underwriting (loss) income	$	(9,858	)	$	(10,504	)	$	14,177		$	(6,185	)

Net investment income										$	150,459
Net realized investment losses											(21,555	)
Other income — termination fee											35,000
Amortization and impairment of intangible assets											(2,300	)
Interest expense											(41,235	)
Foreign exchange loss											(3,708	)


Income before income taxes										$	110,476


GAAP Ratios
Loss and loss expense ratio		68.1	%		79.1	%		67.3	%		70.3	%
Acquisition cost ratio		13.1	%		(1.2	%)		17.1	%		11.4	%
General and administrative expense ratio		21.1	%		26.6	%		12.0	%		19.0	%

Expense ratio		34.2	%		25.4	%		29.1	%		30.4	%

Combined ratio		102.3	%		104.5	%		96.4	%		100.7	%


*		Includes prior year favorable development of $9.9 million and the impact of a commutation, which increased prior years net losses and loss expenses by $11.5 million.

**		Includes prior year favorable development of $161.1 million and the impact of a commutation, which increased prior years net losses and loss expenses by $11.5 million.

Page 14

ALLIED WORLD ASSURANCE COMPANY HOLDINGS,AG
CONSOLIDATED SEGMENT RESULTS
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2010


	U.S.			INTERNATIONAL						CONSOLIDATED
	INSURANCE			INSURANCE			REINSURANCE			TOTALS
Revenues
Gross premiums written	$	532,980		$	389,881		$	453,594		$	1,376,455
Net premiums written	$	407,274		$	245,110		$	452,872		$	1,105,256

Net premiums earned	$	384,514		$	257,027		$	375,203		$	1,016,744
Other income	$	913		$	—		$	—		$	913

Total revenues	$	385,427		$	257,027		$	375,203		$	1,017,657


Expenses
Net losses and loss expenses:
Current year	$	263,978		$	274,629		$	239,817		$	778,424
Prior years		(41,211)	*		(141,560	)		(47,789	)		(230,560	)**

Total net losses and loss expenses	$	222,767		$	133,069		$	192,028		$	547,864
Acquisition costs		50,895			(29	)		69,775			120,641
General and administrative expenses		89,578			67,321			44,524			201,423

Total expenses	$	363,240		$	200,361		$	306,327		$	869,928


Underwriting income	$	22,187		$	56,666		$	68,876		$	147,729

Net investment income										$	193,975
Net realized investment gains											289,350
Net impairment charges recognized in earnings											(168	)
Amortization and impairment of intangible assets											(2,675	)
Interest expense											(28,592	)
Foreign exchange loss											(248	)

Income before income taxes										$	599,371


GAAP Ratios
Loss and loss expense ratio		57.9	%		51.8	%		51.2	%		53.9	%
Acquisition cost ratio		13.2	%		0.0	%		18.6	%		11.9	%
General and administrative expense ratio		23.3	%		26.2	%		11.9	%		19.8	%

Expense ratio		36.5	%		26.2	%		30.5	%		31.7	%

Combined ratio		94.4	%		78.0	%		81.7	%		85.6	%


*		Includes prior year favorable development of $50.1 million and the impact of a commutation, which increased prior years net losses and loss expenses by $8.9 million.

**		Includes prior year favorable development of $239.4 million and the impact of a commutation, which increased prior years net losses and loss expenses by $8.9 million.

Page 15

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG
CONDENSED CONSOLIDATED BALANCE SHEETS


	SEPTEMBER 30, 2011			DECEMBER 31, 2010
ASSETS
Fixed maturity investments available for sale, at fair value (amortized cost: 2011: $264,050; 2010: $828,544)	$	284,966		$	891,849
Fixed maturity investments trading, at fair value		6,279,615			5,769,097
Equity securities trading, at fair value		424,104			174,976
Other invested assets trading, at fair value		552,074			347,632

Total investments		7,540,759			7,183,554
Cash and cash equivalents		902,573			853,368
Insurance balances receivable		607,270			529,927
Prepaid reinsurance		218,514			187,287
Reinsurance recoverable		1,009,643			927,588
Accrued investment income		39,743			40,520
Net deferred acquisition costs		115,070			96,803
Goodwill		268,376			268,376
Intangible assets		54,576			56,876
Net deferred tax assets		26,872			19,740
Other assets		50,424			75,184

TOTAL ASSETS	$	10,833,820		$	10,239,223


LIABILITIES
Reserve for losses and loss expenses	$	5,245,553		$	4,879,188
Unearned premiums		1,158,842			962,203
Reinsurance balances payable		95,463			99,732
Net balances payable on purchases and sales of investments		405,124			318,570
Senior notes		797,885			797,700
Accounts payable and accrued liabilities		127,879			106,010

TOTAL LIABILITIES	$	7,830,746		$	7,163,403


SHAREHOLDERS’ EQUITY
Common shares: 2011: par value CHF 14.38 per share and 2010: par value CHF 15.00 per share (2011:40,003,642; 2010: 40,003,642 shares issued and 2011: 38,145,557; 2010: 38,089,226 shares outstanding)		571,455			600,055
Additional paid-in capital		73,797			170,239
Treasury shares, at cost (2011: 1,858,085; 2010: 1,914,416)		(112,624	)		(112,811	)
Retained earnings		2,452,650			2,361,202
Accumulated other comprehensive income:
net unrealized gains on investments, net of tax		17,796			57,135

TOTAL SHAREHOLDERS’ EQUITY		3,003,074			3,075,820

TOTAL LIABILITIES AND SHAREHOLDERS’ EQUITY	$	10,833,820		$	10,239,223


Book value per share	$	78.73		$	80.75
Diluted book value per share	$	75.82		$	74.29

Page 16

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG
CONSOLIDATED TOTAL INVESTMENT PORTFOLIO


	SEPTEMBER 30, 2011					JUNE 30, 2011					MARCH 31, 2011						DECEMBER 31, 2010					SEPTEMBER 30, 2010
	FAIR VALUE					FAIR VALUE					FAIR VALUE						FAIR VALUE					FAIR VALUE
FAIR VALUE
Fixed maturities available for sale	$	284,966		3.4	%	$	345,551		4.2	%	$	543,808		6.8	%		$	891,849		11.1	%	$	1,570,144		19.4	%
Fixed maturities trading		6,279,615		74.4	%		6,201,034		74.6	%		5,960,830		74.6	%			5,769,097		71.8	%		5,231,358		64.7	%
Equity securities		424,104		5.0	%		393,913		4.7	%		271,057		3.4	%			174,976		2.2	%		121,740		1.5	%
Other invested assets trading		552,074		6.5	%		562,267		6.8	%		469,999		5.9	%			347,632		4.3	%		328,275		4.1	%
Cash and cash equivalents		902,573		10.7	%		807,657		9.7	%		746,002		9.3	%			853,368		10.6	%		831,444		10.3	%

Total	$	8,443,332		100.0	%	$	8,310,422		100.0	%	$	7,991,696		100.0	%		$	8,036,922		100.0	%	$	8,082,961		100.0	%


ASSET ALLOCATION BY FAIR VALUE
U.S. government and agencies	$	1,102,971		13.1	%	$	1,021,290		12.3	%	$	1,145,787		14.3	%		$	1,321,673		16.5	%	$	1,206,987		14.9	%
Non-U.S. government and government agencies		225,782		2.7	%		177,529		2.1	%		176,193		2.2	%			266,177		3.3	%		388,262		4.8	%
Corporate securities		2,451,278		29.0	%		2,606,743		31.4	%		2,654,399		33.3	%			2,526,550		31.4	%		2,539,994		31.5	%
State, municipalities and political subdivisions		136,287		1.6	%		156,922		1.9	%		199,875		2.5	%			245,614		3.1	%		240,348		3.0	%
Mortgage-backed securities		2,053,663		24.4	%		1,904,565		22.9	%		1,702,619		21.3	%			1,751,883		21.8	%		1,749,598		21.6	%
Asset-backed securities		594,600		6.9	%		679,536		8.2	%		625,765		7.8	%			549,049		6.8	%		676,313		8.3	%

Fixed income sub-total		6,564,581		77.7	%		6,546,585		78.8	%		6,504,638		81.4	%			6,660,946		82.9	%		6,801,502		84.1	%
Hedge funds		461,944		5.5	%		496,358		6.0	%		426,415		5.3	%			310,638		3.9	%		300,981		3.8	%
Private equity (funded)		90,130		1.1	%		65,909		0.8	%		43,584		0.6	%			36,994		0.4	%		27,294		0.3	%
Equity securities		424,104		5.0	%		393,913		4.7	%		271,057		3.4	%			174,976		2.2	%		121,740		1.5	%
Cash & cash equivalents		902,573		10.7	%		807,657		9.7	%		746,002		9.3	%			853,368		10.6	%		831,444		10.3	%

Total	$	8,443,332		100.0	%	$	8,310,422		100.0	%	$	7,991,696		100.0	%		$	8,036,922		100.0	%	$	8,082,961		100.0	%


FIXED INCOME CREDIT QUALITY BY FAIR VALUE
U.S. government and agencies	$	1,102,971		16.8	%	$	1,021,290		15.6	%	$	1,145,787		17.6	%		$	1,321,673		19.9	%	$	1,206,987		17.8	%
AAA/Aaa		1,455,702		22.2	%		2,825,333		43.2	%		2,615,609		40.2	%			2,677,441		40.2	%		2,968,935		43.7	%
AA/Aa		1,916,585		29.2	%		500,935		7.7	%		607,630		9.3	%			622,446		9.3	%		562,112		8.3	%
A/A		1,103,176		16.8	%		1,205,929		18.4	%		1,289,286		19.8	%			1,259,295		18.9	%		1,404,202		20.6	%
BBB/Baa		584,714		8.9	%		626,466		9.7	%		575,290		8.9	%			523,577		7.9	%		366,685		5.4	%
BB		134,279		2.1	%		116,425		1.8	%		33,887		0.5	%			28,050		0.4	%		30,707		0.5	%
B/B		54,570		0.8	%		64,451		1.1	%		54,162		0.9	%			52,793		0.8	%		63,892		0.8	%
CCC+ and below		212,584		3.2	%		185,754		2.8	%		182,987		2.8	%			175,671		2.6	%		197,982		2.9	%

Total	$	6,564,581		100.0	%	$	6,546,584		100.0	%	$	6,504,638		100.0	%		$	6,660,946		100.0	%	$	6,801,502		100.0	%


STATISTICS
Annualized book yield, year to date		2.6	%				2.7	%				2.6	%					3.3	%				3.4	%
Duration*	2.1 years					2.3 years					2.8 years						2.7 years					2.5 years
Average credit quality (S&P)	AA-					AA					AA					AA						AA


*		Includes only cash and cash equivalents and fixed maturity investments

Page 17

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG
INVESTMENT PORTFOLIO — ADDITIONAL DETAIL
SEPTEMBER 30, 2011


			AVERAGE		PORTFOLIO
	FAIR VALUE		RATING		PERCENTAGE
Cash & cash equivalents	$	902,573	AAA			10.7	%
U.S. government securities		894,246	AA+			10.6	%
U.S. government agencies		208,725	AA+			2.5	%
Non-U.S. government and government agencies		225,782	AAA			2.7	%
Mortgage-backed securities:
Agency MBS		1,374,564	AA+			16.3	%
Non-agency RMBS		139,870		A+		1.7	%
Non-agency RMBS — Non investment grade strategy		188,525	CCC			2.2	%
CMBS		350,704	AA+			4.2	%
Total mortgage-backed securities		2,053,663				24.4	%
Corporate securities:
Financials		1,331,645	AA-			15.8	%
Industrials		921,336	BBB			10.9	%
Utilities		198,297	BBB+			2.3	%
Total corporate securities		2,451,278				29.0	%
Asset-backed securities:
Credit cards		52,482	AAA			0.6	%
Auto receivables		95,814	AAA			1.1	%
Student loans		198,295	AAA			2.3	%
Collateralized loan obligations		169,680	AA+			2.0	%
Other		78,329	AAA			0.9	%

Total asset-backed securities		594,600				6.9	%
State, municipalities and political subdivisions		136,287	AA-			1.6	%
Hedge funds		461,944		N/A		5.5	%
Private equity (funded)		90,130		N/A		1.1	%
Equities		424,104		N/A		5.0	%

Total Investment Portfolio	$	8,443,332				100.0	%

TOP 10 CORPORATE EXPOSURES


			PORTFOLIO
CORPORATE	FAIR VALUE		PERCENTAGE
JPMorgan Chase & Co	$	70,207		0.8	%
Citigroup Inc		63,348		0.8	%
Bank of America Corp		54,969		0.7	%
Sparebank 1 Boligkreditt AS		52,277		0.6	%
Morgan Stanley		49,860		0.6	%
Wells Fargo & Co		48,600		0.6	%
American Express Co		42,751		0.5	%
Verizon Communications Inc		41,876		0.5	%
HSBC Holdings PLC		37,517		0.4	%
General Electric Co		37,208		0.4	%


					LONG			SHORT
	FAIR VALUE		UNFUNDED		EXPOSURE⁽¹⁾			EXPOSURE⁽²⁾			GROSS			NET
OTHER INVESTED ASSET FUND DETAILS	SEPTEMBER 30, 2011		COMMITMENTS		(% OF FUNDED)			(% OF FUNDED)			EXPOSURE⁽³⁾			EXPOSURE⁽⁴⁾
Private equity (primary and secondary)	$	78,078	$	162,162		100	%		0	%		100	%		100	%
Mezzanine debt		3,308		111,621		100	%		0	%		100	%		100	%
Distressed		8,744		36,392		100	%		0	%		100	%		100	%

Total private equity		90,130		310,175

Distressed hedge funds		46,767		—		64	%		42	%		106	%		22	%
Equity long/short		175,170		—		78	%		58	%		136	%		20	%
Multi-strategy		157,479		—		88	%		66	%		154	%		22	%
Event driven		82,528		—		93	%		69	%		162	%		24	%

Total other invested assets	$	552,074	$	310,175


(1)		Long exposure represents the ratio of the fund’s equity to investments in securities (over 100% may denote explicit borrowing).

(2)		Short exposure represents the ratio of the fund’s equity to securities sold short.

(3)		Gross exposure is the addition of the long and short exposures.

(4)		Net exposure is the subtraction of the short exposure from the long exposure.

Page 18

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG
INVESTMENT PORTFOLIO — ADDITIONAL DETAIL
SEPTEMBER 30, 2011

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


																					AVERAGE
																			TOTAL		CREDIT
Vintage	AAA		AA		A		BBB		BB		B		CCC		CC		D		FAIR VALUE		ENHANCEMENT**
2007	$	—		—	$	—	$	—	$	—	$	—	$	36,711	$	3,956	$	11,823	$	52,490		21.7%
2006		—		—		2,342		—		942		—		53,270		—		29,684		86,238		19.0%
2005 and prior		13,346		—		274		24		—		7,555		11,116		11,754		5,728		49,797		23.0%

Total*	$	13,346	$	—	$	2,616	$	24	$	942	$	7,555	$	101,097	$	15,710	$	47,235	$	188,525		20.8%


*		Included in the above is fair value of $5.4 million of subprime mortgages with an average rating of B-.

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


																					AVERAGE
																			TOTAL		CREDIT
Vintage	AAA		AA		A		BBB		BB		B		CCC		CC		D		FAIR VALUE		ENHANCEMENT**
2007	$	238	$	—	$	—	$	—	$	—	$	—	$	695	$	543	$	—	$	1,476		1.4%
2006		11,088		—		—		—		—		1,746		—		—		—		12,834		13.9%
2005 and prior		77,158		8,183		8,395		1,573		17,955		11,446		850		—		—		125,560		11.1%

Total*	$	88,484	$	8,183	$	8,395	$	1,573	$	17,955	$	13,192	$	1,545	$	543	$	—	$	139,870		11.3%


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

COMMERCIAL MORTGAGE BACKED SECURITIES DETAIL


																					AVERAGE
																			TOTAL		CREDIT
Vintage	AAA		AA		A		BBB		BB		B		CCC		CC		NR		FAIR VALUE		ENHANCEMENT**
2011	$	29,975	$	29,566	$	—	$	—	$	—	$	—	$	—		—	$	—	$	59,541		62.8%
2010		16,128		30,903		—		—		—		—		—		—		—		47,031		71.9%
2009		—		—		—		—		—		—		—		—		—		—		0.0%
2008		6,374		—		—		—		—		—		—		—		—		6,374		27.9%
2007		30,118		809		—		—		—		—		—		—		—		30,927		44.6%
2006		93,197		—		—		413		—		—		2,270		—		—		95,880		32.6%
2005 and prior		101,154		410		690		—		—		—		—		—		8,697		110,951		24.6%

Total	$	276,946	$	61,688	$	690	$	413	$	—	$	—	$	2,270	$	—	$	8,697	$	350,704		41.5%


**		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, AG
INVESTMENT PORTFOLIO — ADDITIONAL DETAIL
SEPTEMBER 30, 2011

TOTAL EXPOSURE BY ASSET TYPE AND CONTINENT


			ASIA / MIDDLE						NORTH		SOUTH		TOTAL
ASSET TYPE	AFRICA		EAST		AUSTRALIA		EUROPE		AMERICA		AMERICA		EXPOSURE
Sovereign*	$	—	$	—	$	17,777	$	52,798	$	1,213,823	$	—	$	1,284,398
Sovereign — guaranteed
financial institutions		—		6,504		48,655		170,792		—		—		225,951
Mortgage-backed securities:
Agency MBS		—		—		—		—		1,374,564		—		1,374,564
RMBS		—		—		244		11,673		316,478		—		328,395
CMBS		—		—		—		—		350,704		—		350,704
Corporate securities:
Financials		—		25,789		17,822		383,653		719,780		3,005		1,150,049
Industrials		8,214		29,174		24,656		117,996		705,211		36,085		921,336
Utilities		—		5,971		—		14,606		172,148		5,572		198,297
Asset-backed securities		—		—		—		27,899		566,701		—		594,600
State and municipalities		—		—		—		—		136,287		—		136,287
Equities		—		68,195		11,433		25,872		310,864		7,740		424,104

TOTAL EXPOSURE	$	8,214	$	135,633	$	120,587	$	805,289	$	5,866,560	$	52,402	$	6,988,685

TOTAL EXPOSURE BY COUNTRY AND CONTINENT


			ASIA / MIDDLE						NORTH		SOUTH		TOTAL
COUNTRY	AFRICA		EAST		AUSTRALIA		EUROPE		AMERICA		AMERICA		EXPOSURE
Australia	$	—	$	—	$	120,587	$	—	$	—	$	—	$	120,587
Belgium		—		—		—		21,341		—		—		21,341
Bermuda		—		—		—		—		16,797		—		16,797
Brazil		—		—		—		—		—		23,276		23,276
Canada		—		—		—		—		249,581		—		249,581
Cayman Islands		—		—		—		—		135,554		—		135,554
China		—		16,141		—		—		—		—		16,141
Colombia		—		—		—		—		—		7,740		7,740
Curacao		—		—		—		—		—		3,275		3,275
Denmark		—		—		—		35,164		—		—		35,164
France		—		—		—		61,155		—		—		61,155
Germany		—		—		—		92,306		—		—		92,306
Hong Kong		—		8,845		—		—		—		—		8,845
India		—		2,594		—		—		—		—		2,594
Ireland		—		—		—		92		—		—		92
Israel		—		14,536		—		—		—		—		14,536
Japan		—		16,346		—		—		—		—		16,346
Luxembourg		—		—		—		12,523		—		—		12,523
Mexico		—		—		—		—		—		18,111		18,111
Netherlands		—		—		—		122,663		—		—		122,663
Norway		—		—		—		73,309		—		—		73,309
Philippines		—		5,389		—		—		—		—		5,389
Qatar		—		12,588		—		—		—		—		12,588
Russia		—		—		—		16,640		—		—		16,640
Singapore		—		34,039		—		—		—		—		34,039
South Africa		8,214		—		—		—		—		—		8,214
South Korea		—		19,276		—		—		—		—		19,276
Spain		—		—		—		21,670		—		—		21,670
Sweden		—		—		—		47,954		—		—		47,954
Switzerland		—		—		—		40,767		—		—		40,767
Taiwan		—		4,460		—		—		—		—		4,460
United Arab Emirates		—		1,419		—		—		—		—		1,419
United Kingdom		—		—		—		259,705		—		—		259,705
United States		—		—		—		—		5,464,628		—		5,464,628

TOTAL EXPOSURE	$	8,214	$	135,633	$	120,587	$	805,289	$	5,866,560	$	52,402	$	6,988,685


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

Page 20

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


				AT SEPTEMBER 30, 2011

	U.S.			INTER NATIONAL						CONSOLIDATED
	INSURANCE			INSURANCE			REINSURANCE			TOTAL
Case reserves (net of reinsurance recoverable)	$	296,298		$	444,294		$	436,020		$	1,176,612
IBNR (net of reinsurance recoverable)		904,219			1,283,875			871,204			3,059,298

Total	$	1,200,517		$	1,728,169		$	1,307,224		$	4,235,910

IBNR/Total reserves (net of reinsurance recoverable)		75.3	%		74.3	%		66.6	%		72.2	%


				AT DECEMBER 31, 2010

	U.S.			INTER NATIONAL						CONSOLIDATED
	INSURANCE			INSURANCE			REINSURANCE			TOTAL
Case reserves (net of reinsurance recoverable)	$	213,574		$	374,105		$	372,707		$	960,386
IBNR (net of reinsurance recoverable)		821,531			1,321,593			848,090			2,991,214

Total	$	1,035,105		$	1,695,698		$	1,220,797		$	3,951,600

IBNR/Total reserves (net of reinsurance recoverable)		79.4	%		77.9	%		69.5	%		75.7	%

Page 21

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


	SEPTEMBER 30,			JUNE 30,			MARCH 31,			DECEMBER 31,			SEPTEMBER 30,
	2011			2011			2011			2010			2010
Senior notes	$	797,885		$	797,823		$	797,761		$	797,700		$	499,017
Shareholders’ equity		3,003,074			3,044,417			2,950,953			3,075,820			3,341,314

Total capitalization	$	3,800,959		$	3,842,240		$	3,748,714		$	3,873,520		$	3,840,331


Leverage ratios
Debt to total capitalization		21.0	%		20.8	%		21.3	%		20.6	%		13.0	%

Closing shareholders’ equity	$	3,003,074		$	3,044,417		$	2,950,953		$	3,075,820		$	3,341,314
Deduct: accumulated other comprehensive income		(17,796	)		(23,095	)		(32,963	)		(57,135	)		(111,760	)

Adjusted shareholders’ equity	$	2,985,278		$	3,021,322		$	2,917,990		$	3,018,685		$	3,229,554

Net premiums written (trailing 12 months)	$	1,514,133		$	1,466,042		$	1,440,034		$	1,392,455		$	1,338,950
Net premiums written (trailing 12 months) to adjusted shareholders’ equity		0.51			0.49			0.49			0.46			0.41

Total investments and cash & cash equivalents	$	8,443,332		$	8,310,422		$	7,991,696		$	8,036,922		$	8,082,961
Total investments and cash & cash equivalents to adjusted shareholders’ equity		2.83			2.75			2.74			2.66			2.50

Reserve for losses and loss expenses	$	5,245,553		$	5,251,304		$	5,100,643		$	4,879,188		$	4,889,825
Deduct: reinsurance recoverable		(1,009,643	)		(1,013,951	)		(975,523	)		(927,588	)		(939,956	)

Net reserve for losses and loss expenses	$	4,235,910		$	4,237,353		$	4,125,120		$	3,951,600		$	3,949,869
Net reserve for losses and loss expenses to adjusted shareholders’ equity		1.42			1.40			1.41			1.31			1.22

Page 22

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG
SHARE REPURCHASE DETAIL — CURRENT YEAR


								Maximum Dollar Value (or Approximate
	Total Number of Shares			Average Price Paid per				Dollar Value) of Shares
Period	Purchased			Share		Total Actual Cost		that May Yet Be Purchased
January 1-31, 2011		—		$	—	$	—	$	260,873
February 1-28, 2011		282,609			61.67		17,428		243,445
March 1-31, 2011		686,554			62.01		42,572		200,873

Total March 31, 2011		969,163		$	61.91	$	60,000	$	200,873

April 1-30, 2011		—		$	—	$	—	$	200,873
May 1-31, 2011		—			—		—		200,873
June 1-30, 2011		—			—		—		200,873

Total June 30, 2011		—	*	$	—	$	—	$	200,873

July 1-31, 2011		—		$	—	$	—	$	200,873
August 1-31, 2011		—			—		—		200,873
September 1-30, 2011		—			—		—		200,873

Total September 30, 2011		—	*			$	—	$	200,873

Year to date September 30, 2011		969,163		$	61.91	$	60,000	$	200,873


*		The plan was inactive in the second and third quarter of 2011 because of the merger agreement with Transatlantic Holdings, Inc. which was subsequently terminated.

Page 23

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG
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, 2011			JUNE 30, 2011			MARCH 31, 2011			DECEMBER 31, 2010		SEPTEMBER 30, 2010
Net (loss) income	$	(10,972	)	$	93,800		$	8,620		$	92,786	$	254,520
Add after tax affect of:
Net realized investment losses (gains)		126,440			(50,795	)		(49,526	)		4,306		(109,581	)
Other income — termination fee		(32,270	)		—			—			—		—
Foreign exchange loss (gain)		2,966			1,184			(442	)		196		(1,387	)

Operating income (loss)	$	86,164		$	44,189		$	(41,348	)	$	97,288	$	143,552


Weighted average common shares outstanding
Basic		38,110,368			38,346,489			38,199,867			40,291,620		45,544,060
Diluted		39,340,710	*		39,800,753			40,383,523			43,501,068		48,839,991

Basic per share data
Net (loss) income	$	(0.29	)	$	2.45		$	0.23		$	2.30	$	5.59
Add after tax affect of:
Net realized investment losses (gains)		3.32			(1.32	)		(1.30	)		0.11		(2.41	)
Other income — termination fee		(0.85	)		—			—			—		—
Foreign exchange loss (gain)		0.08			0.02			(0.01	)		—		(0.03	)

Operating income (loss)	$	2.26		$	1.15		$	(1.08	)	$	2.41	$	3.15


Diluted per share data
Net (loss) income	$	(0.29)	*	$	2.36		$	0.21		$	2.13	$	5.21
Add after tax affect of:
Net realized investment losses (gains)		3.21			(1.28	)		(1.22	)		0.10		(2.24	)
Other income — termination fee		(0.82	)		—			—			—		—
Foreign exchange loss (gain)		0.09			0.03			(0.01	)		0.01		(0.03	)

Operating income (loss)	$	2.19		$	1.11		$	(1.02	)	$	2.24	$	2.94


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

Page 24

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


	NINE MONTHS ENDED			NINE MONTHS ENDED
	SEPTEMBER 30, 2011			SEPTEMBER 30, 2010
Net income	$	91,448		$	572,219
Add after tax affect of:
Net realized investment losses (gains)		26,119			(272,033	)
Net impairment charges in earnings		—			109
Other income — termination fee		(32,270	)		—
Foreign exchange loss		3,708			248

Operating income	$	89,005		$	300,543


Weighted average common shares outstanding
Basic		38,078,116			48,580,541
Diluted		39,759,780			51,887,390

Basic per share data
Net income	$	2.40		$	11.78
Add after tax affect of:
Net realized investment losses (gains)		0.69			(5.60	)
Net impairment charges in earnings		—			—
Other income — termination fee		(0.85	)		—
Foreign exchange loss		0.10			0.01

Operating income	$	2.34		$	6.19


Diluted per share data
Net income	$	2.30		$	11.03
Add after tax affect of:
Net realized investment losses (gains)		0.66			(5.24	)
Net impairment charges in earnings		—			—
Other income — termination fee		(0.81	)		—
Foreign exchange loss		0.09			—

Operating income	$	2.24		$	5.79

Page 25

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG
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, 2011			JUNE 30, 2011			MARCH 31, 2011			DECEMBER 31, 2010			SEPTEMBER 30, 2010
Opening shareholders’ equity	$	3,044,417		$	2,950,953		$	3,075,820		$	3,341,314		$	3,468,543
Deduct: accumulated other comprehensive income		(23,095	)		(32,963	)		(57,135	)		(111,760	)		(138,245	)

Adjusted opening shareholders’ equity	$	3,021,322		$	2,917,990		$	3,018,685		$	3,229,554		$	3,330,298

Closing shareholders’ equity	$	3,003,074		$	3,044,417		$	2,950,953		$	3,075,820		$	3,341,314
Deduct: accumulated other comprehensive income		(17,796	)		(23,095	)		(32,963	)		(57,135	)		(111,760	)

Adjusted closing shareholders’ equity	$	2,985,278		$	3,021,322		$	2,917,990		$	3,018,685		$	3,229,554

Average shareholders’ equity	$	3,003,300		$	2,969,656		$	2,968,338		$	3,124,120		$	3,279,926

Net (loss) income available to shareholders	$	(10,972	)	$	93,800		$	8,620		$	92,786		$	254,520
Annualized net (loss) income available to shareholders		(43,888	)		375,200			34,480			371,144			1,018,080

Annualized return on average shareholders’ equity — net (loss) income available to shareholders		(1.5	%)		12.6	%		1.2	%		11.9	%		31.0	%


Operating income (loss) available to shareholders	$	86,164		$	44,189		$	(41,348	)	$	97,288		$	143,552
Annualized operating income (loss) available to shareholders		344,656			176,756			(165,392	)		389,152			574,208

Annualized return on average shareholders’ equity — operating income (loss) available to shareholders		11.5	%		6.0	%		(5.6	%)		12.5	%		17.5	%

Page 26

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


	NINE MONTHS ENDED			NINE MONTHS ENDED
	SEPTEMBER 30, 2011			SEPTEMBER 30, 2010
Opening shareholders’ equity	$	3,075,820		$	3,213,295
Deduct: accumulated other comprehensive income		(57,135	)		(149,849	)

Adjusted opening shareholders’ equity	$	3,018,685		$	3,063,446

Closing shareholders’ equity	$	3,003,074		$	3,341,314
Deduct: accumulated other comprehensive income		(17,796	)		(111,760	)

Adjusted closing shareholders’ equity	$	2,985,278		$	3,229,554

Average shareholders’ equity	$	3,001,982		$	3,146,500

Net income available to shareholders	$	91,448		$	572,219
Annualized net income available to shareholders		121,931			762,959

Annualized return on average shareholders’ equity — net income available to shareholders		4.1	%		24.2	%

Operating income available to shareholders	$	89,005		$	300,543
Annualized operating income available to shareholders		118,673			400,724

Annualized return on average shareholders’ equity — operating income available to shareholders		4.0	%		12.7	%

Page 27

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


	SEPTEMBER 30,			DECEMBER 31,			SEPTEMBER 30,
	2011			2010			2010

Price per share at period end	$	53.71		$	59.44		$	56.59

Total shareholders’ equity	$	3,003,074		$	3,075,820		$	3,341,314

Basic common shares outstanding		38,145,557			38,089,226			42,394,576

Add: unvested restricted share units		256,672			571,178			580,706

Add: performance based equity awards		898,014			1,440,017			1,409,984

Add: employee share purchase plan		1,215			10,576			—

Add: dilutive options/warrants outstanding		1,107,305			3,272,739			4,563,380
Weighted average exercise price per share	$	38.80		$	35.98		$	34.69
Deduct: options bought back via treasury method		(799,914	)		(1,980,884	)		(2,797,512	)


Common shares and common share equivalents outstanding		39,608,849			41,402,852			46,151,134

Basic book value per common share	$	78.73		$	80.75		$	78.81
Year-to-date percentage change in basic book value per common share		(2.5	%)		25.0	%

Diluted book value per common share	$	75.82		$	74.29		$	72.40
Year-to-date percentage change in dilutive book value per common share		2.1	%		24.7	%

Page 28

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG
CALCULATION OF ANNUALIZED INVESTMENT BOOK YIELD


	THREE MONTHS ENDED			THREE MONTHS ENDED			NINE MONTHS ENDED			NINE MONTHS ENDED
	SEPTEMBER 30, 2011			SEPTEMBER 30, 2010			SEPTEMBER 30, 2011			SEPTEMBER 30, 2010
Net investment income	$	47,883		$	59,479		$	150,459		$	193,975
Deduct: annual and non-recurring items		—			6,438			—			6,438

Net investment income, recurring	$	47,883		$	53,041		$	150,459		$	187,537

Annualized net investment income, recurring	$	191,532		$	212,164		$	200,612		$	250,049

Add: annual and non-recurring items		—			6,438			—			6,438

Normalized net investment income	$	191,532		$	218,602		$	200,612		$	256,487

Opening aggregate invested assets:
Fixed maturity investments, amortized cost	$	6,419,637		$	6,804,813		$	6,542,867		$	6,792,563
Equity securities, cost		365,394			73,786			160,513			309
Other invested assets, at cost		533,914			315,906			331,772			184,237
Cash and cash equivalents		807,657			543,895			853,368			379,751
Net balances on purchases and sales of investments		(252,351	)		(26,107	)		(318,570	)		184

Opening aggregate invested assets	$	7,874,251		$	7,712,293		$	7,569,950		$	7,357,044

Closing aggregate invested assets:
Fixed maturity investments, amortized cost	$	6,489,633		$	6,529,858		$	6,489,633		$	6,529,858
Equity securities, cost		442,536			117,599			442,536			117,599
Other invested assets, cost		549,277			322,486			549,277			322,486
Cash and cash equivalents		902,573			831,444			902,573			831,444
Net balances on purchases and sales of investments		(405,124	)		(307,140	)		(405,124	)		(307,140	)

Closing aggregate invested assets	$	7,978,895		$	7,494,247		$	7,978,895		$	7,494,247

Average aggregate invested assets	$	7,926,573		$	7,603,270		$	7,774,423		$	7,425,646

Annualized investment book yield		2.4	%		2.9	%		2.6	%		3.4	%

Page 29

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG
CALCULATION OF ANNUALIZED INVESTMENT BOOK YIELD


	SIX MONTHS ENDED			THREE MONTHS ENDED			YEAR ENDED
	JUNE 30, 2011			MARCH 31, 2011			DECEMBER 31, 2010
Net investment income	$	102,576		$	50,208		$	244,143
Deduct: annual and non-recurring items		—			—			6,438

Net investment income, recurring	$	102,576		$	50,208		$	237,705

Annualized net investment income, recurring	$	205,152		$	200,832		$	237,705

Add: annual and non-recurring items		—			—			6,438

Normalized net investment income	$	205,152		$	200,832		$	244,143

Opening aggregate invested assets:
Fixed maturity investments, amortized cost	$	6,542,867		$	6,542,867		$	6,792,563
Equity securities, cost		160,513			160,513			309
Other invested assets, at cost		331,772			331,772			184,237
Cash and cash equivalents		853,368			853,368			379,751
Net balances on purchases and sales of investments		(318,570	)		(318,570	)		184

Opening aggregate invested assets	$	7,569,950		$	7,569,950		$	7,357,044

Closing aggregate invested assets:
Fixed maturity investments, amortized cost	$	6,419,637		$	6,398,230		$	6,542,867
Equity securities, cost		365,394			245,618			160,513
Other invested assets, at cost		533,914			444,331			331,772
Cash and cash equivalents		807,657			746,002			853,368
Net balances on purchases and sales of investments		(252,351	)		(204,767	)		(318,570	)

Closing aggregate invested assets	$	7,874,251		$	7,629,414		$	7,569,950

Average aggregate invested assets	$	7,722,101		$	7,599,682		$	7,463,497

Annualized investment book yield		2.7	%		2.6	%		3.3	%

Page 30

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG
FINANCIAL STATEMENT PORTFOLIO RETURN


	NINE MONTHS ENDED			NINE MONTHS ENDED
	SEPTEMBER 30, 2011			SEPTEMBER 30, 2010
Net investment income	$	150,459		$	193,975
Net realized investment (losses) gains	$	(21,555	)	$	293,308

Opening net unrealized gains on investments:
Net unrealized gains on fixed maturities	$	109,060	*	$	166,187
Net unrealized (losses) gains on foreign exchange		(3,866	)		41

Opening net unrealized gains on investments	$	105,194		$	166,228

Closing net unrealized gains on investments:
Net unrealized gains on fixed maturities	$	62,805	*	$	170,160	*
Net unrealized losses on foreign exchange		—			(3,270	)

Closing net unrealized gains on investments	$	62,805		$	166,890

Net investment income, realized gains and unrealized gains	$	86,515		$	487,945

Opening aggregate invested assets, at fair value:
Fixed maturities available for sale	$	891,849		$	4,427,072
Fixed maturities trading		5,769,097			2,544,322
Other invested assets trading		522,608			184,869
Cash and cash equivalents		853,368			379,751

Total investments and cash		8,036,922			7,536,014
Net balances on purchases and sales of investments		(318,570	)		184

Opening aggregate invested assets, at fair value	$	7,718,352		$	7,536,198

Closing aggregate invested assets, at fair value:
Fixed maturities available for sale	$	284,966		$	1,570,144
Fixed maturities trading		6,279,615			5,231,358
Other invested assets trading		976,178			450,015
Cash and cash equivalents		902,573			831,444

Total investments and cash		8,443,332			8,082,961
Net balances on purchases and sales of investments		(405,124	)		(307,140	)

Closing aggregate invested assets, at fair value	$	8,038,208		$	7,775,821

Average invested assets	$	7,878,280		$	7,656,010

Financial statement portfolio return		1.1	%		6.4	%


*		Excludes reclassification of net unrealized gains of $41,889 related to the adoption of ASU 2010-11.

Note: net investment income, net realized gains/losses and change in unrealized gains/losses are disclosed on a pre-tax basis.

Page 31

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG
REGULATION G

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

OPERATING INCOME
Operating income is an internal performance measure used by the company in the management of its operations and represents after-tax operational results excluding, as applicable, net realized investment gains or losses, net impairment charges recognized in earnings, foreign exchange gain or loss, impairment of intangible assets and any other non-recurring items. The company excludes net realized investment gains or losses, net impairment charges recognized in earnings, net foreign exchange gain or loss and any other non-recurring items from its calculation of operating income because these amounts are heavily influenced by and fluctuate in part according to the availability of market opportunities and other factors. The company excludes impairment of intangible assets as these are non-recurring charges. In addition to presenting net income determined in accordance with GAAP, the company believes that showing operating income enables investors, analysts, rating agencies and other users of its financial information to more easily analyze the company’s results of operations and the company’s underlying business performance. Operating income should not be viewed as a substitute for GAAP net income. See pages 24 and 25 for reconciliation of operating income to net income.

ANNUALIZED RETURN ON AVERAGE SHAREHOLDERS’ EQUITY (“ROAE”)
Annualized return on average shareholders’ equity is calculated using average equity, excluding the average after tax unrealized gains or losses on investments. Unrealized gains (losses) on investments are primarily the result of interest rate and credit spread movements and the resultant impact on fixed income securities. Such gains (losses) are not related to management actions or operational performance, nor are they likely to be realized. Therefore, the company believes that excluding these unrealized gains (losses) provides a more consistent and useful measurement of operating performance, which supplements GAAP information. In calculating ROAE, the net income (loss) available to shareholders for the period is multiplied by the number of such periods in a calendar year in order to arrive at annualized net income (loss) available to shareholders. The company presents ROAE as a measure that is commonly recognized as a standard of performance by investors, analysts, rating agencies and other users of its financial information. See pages 26 and 27 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 24 and 25 for the reconciliation of net income to operating income and pages 26 and 27 for the reconciliation of average shareholders’ equity.

DILUTED BOOK VALUE PER SHARE
The company has included diluted book value per share because it takes into account the effect of dilutive securities; therefore, the company believes it is an important measure of calculating shareholder returns. See page 28 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 29 and 30 for calculation of annualized investment book yield.

Page 32


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


THREE MONTHS ENDED SEPTEMBER 30, 2011		THREE MONTHS ENDED SEPTEMBER 30, 2010

Gross Premiums Written = $442,698		Gross Premiums Written = $378,445


THREE MONTHS ENDED SEPTEMBER 30, 2011		THREE MONTHS ENDED SEPTEMBER 30, 2010

Gross Premiums Written = $442,698		Gross Premiums Written = $378,445


NINE MONTHS ENDED SEPTEMBER 30, 2011		NINE MONTHS ENDED SEPTEMBER 30, 2010

Gross Premiums Written = $1,522,984		Gross Premiums Written = $1,376,455


NINE MONTHS ENDED SEPTEMBER 30, 2011		NINE MONTHS ENDED SEPTEMBER 30, 2010

Gross Premiums Written = $1,522,984		Gross Premiums Written = $1,376,455


*		Includes premiums written in our i-Bind line of business

**		Includes premiums written in our facultative reinsurance line of business