Exhibit 99.3

Allied World Assurance Company Holdings, AG   Securities Listing as at December 31, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
U.S. Government Securities
9127953G4	UNITED STATES TREASURY		0.00		12/31/61		105,490,000		105,460,020		105,460,020
9127953H2	UNITED STATES TREASURY		0.00		12/31/61		759,000		758,950		758,950
9127953S8	UNITED STATES TREASURY		0.00		12/31/61		17,500,000		17,489,012		17,489,012
9127953W9	UNITED STATES TREASURY		0.00		12/31/61		2,000,000		1,998,433		1,998,433
9127954B4	UNITED STATES TREASURY		0.00		12/31/61		260,000,000		259,853,163		259,853,163
9127955F4	UNITED STATES TREASURY		0.00		12/31/61		1,500,000		1,499,872		1,499,872
9127955N7	UNITED STATES TREASURY		0.00		12/31/61		30,800,000		30,795,604		30,795,604
912795Z38	UNITED STATES TREASURY		0.00		12/31/61		522,000		521,992		521,992
912795Z46	UNITED STATES TREASURY		0.00		12/31/61		658,000		657,962		657,962
912810DW5	UNITED STATES TREASURY		7.25		05/15/16		310,000		351,994		397,556
912810EZ7	UNITED STATES TREASURY		6.63		02/15/27		2,475,000		3,014,912		3,808,555
9128277L0	UNITED STATES TREASURY		4.88		02/15/12		1,155,000		1,158,215		1,161,468
912828AJ9	UNITED STATES TREASURY		4.38		08/15/12		500,000		503,785		513,105
912828AP5	UNITED STATES TREASURY		4.00		11/15/12		2,465,000		2,512,199		2,546,937
912828BA7	UNITED STATES TREASURY		3.63		05/15/13		1,500,000		1,541,061		1,569,840
912828BR0	UNITED STATES TREASURY		4.25		11/15/13		335,000		343,768		359,783
912828CA6	UNITED STATES TREASURY		4.00		02/15/14		990,000		1,032,924		1,067,844
912828CT5	UNITED STATES TREASURY		4.25		08/15/14		1,440,000		1,523,974		1,586,246
912828DM9	UNITED STATES TREASURY		4.00		02/15/15		1,500,000		1,587,554		1,666,035
912828DV9	UNITED STATES TREASURY		4.13		05/15/15		500,000		533,291		560,945
912828EE6	UNITED STATES TREASURY		4.25		08/15/15		1,000,000		1,074,112		1,133,380
912828EW6	UNITED STATES TREASURY		4.50		02/15/16		1,000,000		1,088,095		1,156,300
912828FY1	UNITED STATES TREASURY		4.63		11/15/16		5,235,000		5,460,014		6,183,477
912828GM6	UNITED STATES TREASURY		4.50		03/31/12		950,000		957,488		960,137
912828GX2	UNITED STATES TREASURY		2.63		07/15/17		8,800,000		10,387,216		11,440,346
912828HC7	UNITED STATES TREASURY		4.13		08/31/12		1,000,000		1,018,498		1,026,290
912828HH6	UNITED STATES TREASURY		4.25		11/15/17		1,000,000		1,083,031		1,181,260
912828HT0	UNITED STATES TREASURY		2.75		02/28/13		800,000		811,531		823,648
912828HV5	UNITED STATES TREASURY		2.50		03/31/13		17,150,000		17,382,214		17,638,946
912828HY9	UNITED STATES TREASURY		3.13		04/30/13		1,200,000		1,223,761		1,246,452
912828JK7	UNITED STATES TREASURY		3.13		08/31/13		1,025,000		1,046,852		1,073,985
912828JQ4	UNITED STATES TREASURY		2.75		10/31/13		1,500,000		1,499,779		1,567,800
912828JZ4	UNITED STATES TREASURY		1.75		01/31/14		1,000,000		997,650		1,030,780
912828KC3	UNITED STATES TREASURY		1.38		02/15/12		6,905,000		6,911,365		6,915,496
912828KN9	UNITED STATES TREASURY		1.88		04/30/14		750,000		747,802		777,360
912828KY5	UNITED STATES TREASURY		2.63		06/30/14		495,000		497,760		523,220
912828LC2	UNITED STATES TREASURY		2.63		07/31/14		18,000,000		18,556,875		19,057,140
912828LQ1	UNITED STATES TREASURY		2.38		09/30/14		1,700,000		1,699,977		1,793,891
912828MG2	UNITED STATES TREASURY		1.38		01/15/13		5,000,000		4,986,348		5,061,850
912828MR8	UNITED STATES TREASURY		2.38		02/28/15		100,000		99,960		106,113
912828NB2	UNITED STATES TREASURY		1.00		04/30/12		13,050,000		13,056,769		13,089,803
912828NC0	UNITED STATES TREASURY		1.38		05/15/13		64,600,000		64,727,234		65,625,846
912828NE6	UNITED STATES TREASURY		0.75		05/31/12		53,700,000		53,700,408		53,853,047
912828NH9	UNITED STATES TREASURY		1.13		06/15/13		45,000,000		44,929,577		45,597,601
912828NU0	UNITED STATES TREASURY		0.75		08/15/13		100,000		99,970		100,847
912828NV8	UNITED STATES TREASURY		1.25		08/31/15		200,000		204,663		205,324
912828PD6	UNITED STATES TREASURY		0.38		10/31/12		6,000,000		6,000,403		6,011,700
912828PS3	UNITED STATES TREASURY		2.00		01/31/16		19,000,000		18,901,465		20,047,470
912828PU8	UNITED STATES TREASURY		0.50		11/15/13		9,815,000		9,755,246		9,861,621
912828PW4	UNITED STATES TREASURY		0.63		12/31/12		20,000,000		20,008,817		20,092,599
912828QE3	UNITED STATES TREASURY		0.63		04/30/13		12,900,000		12,920,900		12,975,465
912828QF0	UNITED STATES TREASURY		2.00		04/30/16		23,500,000		23,595,571		24,814,590
912828QH6	UNITED STATES TREASURY		1.25		02/15/14		1,000,000		1,000,762		1,020,560
912828QJ2	UNITED STATES TREASURY		2.13		02/29/16		14,475,000		14,434,742		15,358,699
912828QL7	UNITED STATES TREASURY		0.75		03/31/13		15,000,000		15,029,867		15,105,000
912828QQ6	UNITED STATES TREASURY		2.38		05/31/18		5,000,000		5,022,047		5,362,500
912828QX1	UNITED STATES TREASURY		1.50		07/31/16		2,175,000		2,175,836		2,248,776
912828RA0	UNITED STATES TREASURY		0.38		06/30/13		1,000,000		999,913		1,002,450
912828RJ1	UNITED STATES TREASURY		1.00		09/30/16		29,100,000		29,042,710		29,399,148

	Allied World Assurance Company Holdings, AG
	Securities Listing as at December 31, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
912828RK8	UNITED STATES TREASURY		0.13		09/30/13		20,000,000		19,950,277		19,961,400
912828RM4	UNITED STATES TREASURY		1.00		10/31/16		950,000		955,033		959,177
912828RQ5	UNITED STATES TREASURY		0.38		11/15/14		55,400,000		55,327,282		55,438,780
912828RR3	UNITED STATES TREASURY		2.00		11/15/21		20,000,000		20,080,569		20,226,601
912828RS1	UNITED STATES TREASURY		0.25		11/30/13		13,000,000		12,998,757		13,001,560
912828RV4	UNITED STATES TREASURY		0.25		12/15/14		121,700,000		121,210,508		121,300,820
							1,073,674,000		1,076,798,335		1,087,632,576
U.S. Government Agencies
3133762C8	FHLB		0.38		11/27/13		2,000,000		1,286,679		1,999,760
3133XVEM9	FHLB		1.63		11/21/12		1,500,000		1,499,053		1,518,730
3133XVNU1	FHLB		2.75		12/12/14		74,500,000		74,766,057		79,067,593
3135G0BA0	FNMA		2.38		04/11/16		2,000,000		2,102,712		2,114,180
3135G0BR3	FNMA		0.50		08/09/13		4,750,000		4,763,673		4,763,870
3135G0BY8	FNMA		0.88		08/28/14		4,750,000		4,793,942		4,789,425
3135G0CL5	FNMA		0.38		05/17/13		50,000,000		49,978,773		49,992,778
3135G0CM3	FNMA		1.25		09/28/16		31,000,000		31,024,359		31,161,197
3137EACE7	FHLMC		2.13		09/21/12		8,500,000		8,496,861		8,617,980
3137EACW7	FHLMC		2.00		08/25/16		9,250,000		9,561,562		9,621,665
3137EACX5	FHLMC		0.38		10/30/13		7,000,000		6,996,249		7,001,260
31398A4M1	FNMA		1.63		10/26/15		21,500,000		21,692,786		22,110,599
31398A6F4	FNMA		0.38		12/28/12		1,500,000		1,496,121		1,502,625
							218,250,000		218,458,827		224,261,661
Non U.S. Government Securities & Agencies
013051DA2	ALBERTA PROVINCE OF		2.75		12/01/14		950,000		928,760		973,888
038461AC3	AID-EGYPT		4.45		09/15/15		25,000,000		25,871,979		27,963,776
135087YN8	CANADA GOVERNMENT		3.50		06/01/13		7,850,000		7,811,152		7,983,031
135087YS7	CANADA GOVERNMENT		3.00		06/01/14		2,015,000		1,934,448		2,073,963
135087YU2	CANADA GOVERNMENT		2.00		12/01/14		9,860,000		9,228,225		9,951,147
135087ZC1	CANADA GOVERNMENT		2.50		06/01/15		2,500,000		2,441,819		2,569,452
135087ZD9	CANADA GOVERNMENT		1.75		03/01/13		6,050,000		5,905,771		5,994,988
135087ZF4	CANADA GOVERNMENT		3.00		12/01/15		1,100,000		1,123,583		1,155,360
135087ZG2	CANADA GOVERNMENT		2.50		09/01/13		1,700,000		1,674,846		1,712,012
135087ZN7	CANADA GOVERNMENT		2.00		03/01/14		400,000		409,696		401,530
135087ZP2	CANADA GOVERNMENT		2.00		08/01/13		1,250,000		1,285,044		1,247,706
135087ZQ0	CANADA GOVERNMENT		2.75		09/01/16		5,450,000		5,745,233		5,708,026
135087ZR8	CANADA GOVERNMENT		2.25		08/01/14		5,200,000		5,428,005		5,269,821
135087ZT4	CANADA GOVERNMENT		1.50		11/01/13		650,000		649,697		644,763
13509PCS0	CANADA HOUSING TRUST		3.80		06/15/21		32,000,000		35,334,939		35,150,026
500769BM5	KREDITANSTALT FUER WIDERAUFBAU		4.38		02/09/16		900,000		916,698		973,933
563469EU5	MANITOBA PROVINCE		5.25		12/03/12		900,000		912,833		917,421
642866FT9	NEW BRUNSWICK PROVINCE OF		4.50		02/04/15		900,000		927,735		967,518
683234WM6	ONTARIO PROVINCE		4.50		03/08/15		900,000		926,370		969,148
748148RK1	QUEBEC PROVINCE OF		5.25		10/01/13		850,000		878,674		893,240
803854JF6	SASKATCHEWAN PROVINCE		5.25		06/03/14		900,000		933,062		969,123
D20658J64	DEUTSCHE BUNDESREPUBLIK		3.50		01/04/16		19,300,000		28,433,057		27,970,114
D4085B7F2	KREDITANSTALT FUER WIDERAUFBAU		2.50		05/28/13		42,000,000		42,163,055		42,915,180
G924507Q5	UNITED KINGDOM GILT		2.75		01/22/15		6,950,000		11,533,930		11,544,103
G92450NU8	UNITED KINGDOM GILT		5.00		09/07/14		7,300,000		12,912,169		12,743,760
H7351MFG3	SWITZERLAND (CONFEDERATION OF)		4.25		06/05/17		1,850,000		2,411,373		2,397,027
H7351PL38	SWITZERLAND (CONFEDERATION OF)		2.00		10/12/16		1,850,000		2,162,623		2,149,727
H7351PL46	SWITZERLAND (CONFEDERATION OF)		2.00		11/09/14		1,850,000		2,101,468		2,091,958
H7351PMW3	SWITZERLAND (CONFEDERATION OF)		4.00		02/11/13		1,850,000		2,075,058		2,067,426
H7351PRV0	SWITZERLAND (CONFEDERATION OF)		3.75		06/10/15		1,850,000		2,242,069		2,232,820
Q0819ACW8	AUSTRALIA COMMONWEALTH OF		5.75		05/15/21		26,500,000		30,192,041		31,597,781
Q2694KDZ4	GOVT OF AUSTRALIA		5.25		03/15/19		4,000,000		4,288,670		4,556,399
							222,625,000		251,784,080		256,756,168

	Allied World Assurance Company Holdings, AG
	Securities Listing as at December 31, 2011

Cusip	Security Description	Coupon		Maturity		Par			Book Value $			Market Value $
Agency MBS
01F030413	FNMA		3.00		01/01/26		(105,000,000	)		(107,059,219	)		(108,445,313	)
01F030413	FNMA		3.00		01/01/26		147,000,000			149,444,141			151,823,438
01F032617	FNMA		3.50		01/01/42		52,000,000			53,062,656			53,495,000
01F040610	FNMA		4.00		01/01/40		(53,000,000	)		(55,296,328	)		(55,666,563	)
01F040610	FNMA		4.00		01/01/40		64,000,000			66,776,328			67,220,000
01F042616	FNMA		4.50		02/25/37		(18,000,000	)		(19,122,188	)		(19,155,938	)
01F050619	FNMA		5.00		01/01/37		(80,000,000	)		(86,196,250	)		(86,425,000	)
01F050619	FNMA		5.00		01/01/37		35,000,000			37,648,047			37,810,938
01F050627	FNMA TBA		5.00		02/01/36		(39,000,000	)		(41,865,938	)		(42,049,922	)
01F062614	FNMA TBA		6.50		01/25/33		10,000,000			11,039,844			11,128,125
01N040611	GNMA		4.00		01/01/41		12,000,000			12,836,563			12,871,875
02R040615	FHLMC GOLD		4.00		01/01/41		(13,000,000	)		(13,534,219	)		(13,632,227	)
02R052610	FHLMC TBA		5.50		01/15/33		(22,000,000	)		(23,685,781	)		(23,873,438	)
31283K4C9	FHLMC GOLD		5.00		06/01/20		6,975,653			7,461,596			7,502,600
31283KJU3	FHLMC GOLD		6.50		12/01/14		367,633			389,639			396,585
31283KN87	FHLMC GOLD		5.00		09/01/17		2,245			2,350			2,418
3128GNW87	FHLMC GOLD		5.00		11/01/16		2,415			2,522			2,590
3128GNY77	FHLMC GOLD		5.00		11/01/16		13,059			13,626			14,007
3128GP3U5	FHLMC GOLD		5.00		01/01/17		2,400			2,506			2,575
3128GP3V3	FHLMC GOLD		5.00		01/01/17		11,645			12,157			12,490
3128GP4U4	FHLMC GOLD		5.00		01/01/17		3,684			3,847			3,951
3128GP7M9	FHLMC GOLD		5.00		01/01/17		1,316			1,374			1,417
3128GPSA2	FHLMC GOLD		5.00		12/01/16		2,626			2,744			2,817
3128GQ3Q2	FHLMC GOLD		5.00		02/01/17		4,291			4,481			4,621
3128GQ6E6	FHLMC GOLD		5.00		02/01/17		3,649			3,811			3,930
3128GQGA3	FHLMC GOLD		5.00		01/01/17		5,212			5,440			5,613
3128GQJT9	FHLMC GOLD		5.00		01/01/17		4,755			4,964			5,100
3128GQK26	FHLMC GOLD		5.00		01/01/17		8,789			9,173			9,427
3128GQK34	FHLMC GOLD		5.00		01/01/17		1,585			1,654			1,700
3128GQKB6	FHLMC GOLD		5.00		01/01/17		3,290			3,428			3,528
3128GQP54	FHLMC GOLD		5.00		01/01/17		5,782			6,037			6,227
3128GQQQ7	FHLMC GOLD		5.00		02/01/17		5,682			5,926			6,095
3128GQQZ7	FHLMC GOLD		5.00		02/01/17		13,777			14,389			14,777
3128GQSG7	FHLMC GOLD		5.00		02/01/17		2,782			2,902			2,996
3128GQU58	FHLMC GOLD		5.00		02/01/17		5,051			5,270			5,418
3128GQU90	FHLMC GOLD		5.00		02/01/17		2,117			2,210			2,280
3128GQVB4	FHLMC GOLD		5.00		02/01/17		3,214			3,357			3,448
3128GQW31	FHLMC GOLD		5.00		02/01/17		7,497			7,835			8,024
3128GQW49	FHLMC GOLD		5.00		02/01/17		13,446			14,051			14,481
3128GR3Y3	FHLMC GOLD		5.00		02/01/17		10,711			11,197			11,489
3128GR6N4	FHLMC GOLD		5.00		04/01/17		15,376			16,076			16,559
3128GRBH1	FHLMC GOLD		5.00		02/01/17		4,692			4,899			5,053
3128GRBJ7	FHLMC GOLD		5.00		02/01/17		1,752			1,829			1,886
3128GRFT1	FHLMC GOLD		5.00		03/01/17		9,140			9,547			9,803
3128GRJD2	FHLMC GOLD		5.00		03/01/17		2,492			2,600			2,673
3128GRK81	FHLMC GOLD		5.00		03/01/17		3,845			4,015			4,141
3128GRLA5	FHLMC GOLD		5.00		03/01/17		16,663			17,405			17,945
3128GRM71	FHLMC GOLD		5.00		03/01/17		2,218			2,318			2,389
3128GRP94	FHLMC GOLD		5.00		03/01/17		1,291			1,347			1,385
3128GRQA0	FHLMC GOLD		5.00		03/01/17		4,260			4,452			4,587
3128GRSP5	FHLMC GOLD		5.00		03/01/17		4,645			4,846			4,983
3128GRSY6	FHLMC GOLD		5.00		03/01/17		8,790			9,178			9,467
3128GRUF4	FHLMC GOLD		5.00		03/01/17		1,102			1,151			1,187
3128GRUT4	FHLMC GOLD		5.00		03/01/17		6,125			6,387			6,570
3128GRWQ8	FHLMC GOLD		5.00		02/01/17		447			466			479
3128GRYD5	FHLMC GOLD		5.00		04/01/17		2,875			3,001			3,097
3128GS5Y9	FHLMC GOLD		5.00		04/01/17		5,130			5,361			5,525
3128GSDJ3	FHLMC GOLD		5.00		04/01/17		7,684			8,032			8,276
3128GSGB7	FHLMC GOLD		5.00		04/01/17		9,843			10,290			10,600

	Allied World Assurance Company Holdings, AG
	Securities Listing as at December 31, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
3128GSGU5	FHLMC GOLD		5.00		04/01/17		20,169		21,093		21,722
3128GSKE6	FHLMC GOLD		5.00		04/01/17		16,515		17,260		17,787
3128GSKV8	FHLMC GOLD		5.00		04/01/17		5,784		6,045		6,229
3128GSLX3	FHLMC GOLD		5.00		04/01/17		4,575		4,776		4,927
3128GSLY1	FHLMC GOLD		5.00		04/01/17		10,623		11,105		11,440
3128GSNL7	FHLMC GOLD		5.00		04/01/17		5,670		5,923		6,107
3128GSQN0	FHLMC GOLD		5.00		04/01/17		7,179		7,491		7,700
3128GSSN8	FHLMC GOLD		5.00		04/01/17		14,727		15,409		15,861
3128GV2N9	FHLMC GOLD		5.00		10/01/17		24,271		25,384		26,139
3128GV3C2	FHLMC GOLD		5.00		10/01/17		11,659		12,181		12,556
3128GV3D0	FHLMC GOLD		5.00		10/01/17		20,781		21,714		22,380
3128GV3Z1	FHLMC GOLD		5.00		10/01/17		24,797		25,960		26,706
3128GV7G9	FHLMC GOLD		5.00		10/01/17		4,675		4,883		5,034
3128GVBY5	FHLMC GOLD		5.00		08/01/17		1,390		1,454		1,487
3128GVH94	FHLMC GOLD		5.00		09/01/17		2,757		2,879		2,969
3128GVJA9	FHLMC GOLD		5.00		09/01/17		10,340		10,804		11,135
3128GVJB7	FHLMC GOLD		5.00		09/01/17		6,257		6,537		6,739
3128GVJQ4	FHLMC GOLD		5.00		09/01/17		15,288		15,991		16,464
3128GVLF5	FHLMC GOLD		5.00		09/01/17		5,960		6,223		6,393
3128GVLH1	FHLMC GOLD		5.00		09/01/17		8,593		8,993		9,254
3128GVLJ7	FHLMC GOLD		5.00		09/01/17		13,299		13,891		14,322
3128GVMM9	FHLMC GOLD		5.00		08/01/17		990		1,034		1,066
3128GVNL0	FHLMC GOLD		5.00		09/01/17		5,840		6,101		6,289
3128GVNM8	FHLMC GOLD		5.00		09/01/17		8,224		8,593		8,857
3128GVNN6	FHLMC GOLD		5.00		09/01/17		11,454		11,965		12,434
3128GVNV8	FHLMC GOLD		5.00		09/01/17		4,399		4,597		4,738
3128GVNX4	FHLMC GOLD		5.00		09/01/17		57,047		59,670		61,438
3128GVPM6	FHLMC GOLD		5.00		09/01/17		5,525		5,772		5,950
3128GVPN4	FHLMC GOLD		5.00		09/01/17		4,828		5,043		5,200
3128GVPP9	FHLMC GOLD		5.00		09/01/17		20,183		21,129		21,736
3128GVQH6	FHLMC GOLD		5.00		09/01/17		16,181		16,931		17,426
3128GVRA0	FHLMC GOLD		5.00		09/01/17		4,539		4,741		4,888
3128GVRC6	FHLMC GOLD		5.00		09/01/17		8,727		9,125		9,399
3128GVRE2	FHLMC GOLD		5.00		09/01/17		6,905		7,223		7,437
3128GVRS1	FHLMC GOLD		5.00		09/01/17		3,618		3,780		3,897
3128GVRT9	FHLMC GOLD		5.00		09/01/17		10,170		10,624		10,953
3128GVRY8	FHLMC GOLD		5.00		09/01/17		51,441		53,803		55,401
3128GVT83	FHLMC GOLD		5.00		09/01/17		21,254		22,223		22,890
3128GVTN0	FHLMC GOLD		5.00		09/01/17		6,002		6,275		6,464
3128GVTW0	FHLMC GOLD		5.00		09/01/17		11,819		12,369		12,729
3128GVUD0	FHLMC GOLD		5.00		09/01/17		1,599		1,673		1,722
3128GVUE8	FHLMC GOLD		5.00		09/01/17		10,221		10,696		11,007
3128GVUX6	FHLMC GOLD		5.00		10/01/17		4,705		4,915		5,067
3128GVVE7	FHLMC GOLD		5.00		10/01/17		26,516		27,704		28,557
3128GVVF4	FHLMC GOLD		5.00		10/01/17		12,053		12,595		12,981
3128GVVJ6	FHLMC GOLD		5.00		10/01/17		21,032		21,994		22,651
3128GVVY3	FHLMC GOLD		5.00		10/01/17		11,456		11,994		12,261
3128GVW22	FHLMC GOLD		5.00		09/01/17		3,766		3,942		4,056
3128GVW89	FHLMC GOLD		5.00		10/01/17		7,193		7,513		7,746
3128GVZV5	FHLMC GOLD		5.00		10/01/17		15,877		16,610		17,099
3128GW5Q7	FHLMC GOLD		5.00		11/01/17		10,439		10,910		11,242
3128GW6G8	FHLMC GOLD		5.00		11/01/17		5,027		5,252		5,414
3128GWAQ1	FHLMC GOLD		5.00		10/01/17		3,159		3,299		3,389
3128GWAT5	FHLMC GOLD		5.00		10/01/17		20,927		21,904		22,398
3128GWAU2	FHLMC GOLD		5.00		10/01/17		24,530		25,631		26,418
3128GWB49	FHLMC GOLD		5.00		10/01/17		2,551		2,672		2,748
3128GWB80	FHLMC GOLD		5.00		10/01/17		13,025		13,614		14,028
3128GWBH0	FHLMC GOLD		5.00		10/01/17		19,578		20,494		21,085
3128GWC89	FHLMC GOLD		5.00		10/01/17		7,344		7,687		7,910
3128GWCL0	FHLMC GOLD		5.00		10/01/17		11,924		12,462		12,842

	Allied World Assurance Company Holdings, AG
	Securities Listing as at December 31, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
3128GWCW6	FHLMC GOLD		5.00		10/01/17		4,673		4,884		5,033
3128GWDP0	FHLMC GOLD		5.00		10/01/17		9,702		10,137		10,448
3128GWEG9	FHLMC GOLD		5.00		10/01/17		29,772		31,112		32,064
3128GWEK0	FHLMC GOLD		5.00		10/01/17		8,046		8,406		8,666
3128GWEP9	FHLMC GOLD		5.00		10/01/17		3,986		4,173		4,293
3128GWF86	FHLMC GOLD		5.00		10/01/17		9,518		9,944		10,250
3128GWFN3	FHLMC GOLD		5.00		10/01/17		9,257		9,672		9,969
3128GWHH4	FHLMC GOLD		5.00		10/01/17		8,643		9,028		9,308
3128GWJG4	FHLMC GOLD		5.00		11/01/17		22,844		23,920		24,449
3128GWK31	FHLMC GOLD		5.00		10/01/17		12,019		12,556		12,945
3128GWK56	FHLMC GOLD		5.00		11/01/17		12,854		13,431		13,844
3128GWMS4	FHLMC GOLD		5.00		11/01/17		6,181		6,458		6,656
3128GWP85	FHLMC GOLD		5.00		11/01/17		7,210		7,551		7,765
3128GWQ27	FHLMC GOLD		5.00		11/01/17		14,896		15,570		16,042
3128GWQ92	FHLMC GOLD		5.00		11/01/17		11,077		11,574		11,930
3128GWQN1	FHLMC GOLD		5.00		11/01/17		11,125		11,624		11,981
3128GWQY7	FHLMC GOLD		5.00		11/01/17		5,126		5,356		5,520
3128GWR42	FHLMC GOLD		5.00		11/01/17		14,477		15,128		15,591
3128GWRF7	FHLMC GOLD		5.00		11/01/17		8,637		9,045		9,244
3128GWV21	FHLMC GOLD		5.00		11/01/17		15,918		16,671		17,143
3128GWVL9	FHLMC GOLD		5.00		11/01/17		2,908		3,043		3,132
3128GWWM6	FHLMC GOLD		5.00		11/01/17		2,334		2,445		2,498
3128GWXD5	FHLMC GOLD		5.00		11/01/17		8,103		8,469		8,727
3128GWXW3	FHLMC GOLD		5.00		11/01/17		14,330		15,010		15,337
3128GWYS1	FHLMC GOLD		5.00		11/01/17		3,245		3,390		3,494
3128GWZQ4	FHLMC GOLD		5.00		11/01/17		9,338		9,757		10,057
3128GX3H7	FHLMC GOLD		5.00		12/01/17		14,212		14,894		15,210
3128GX5V4	FHLMC		5.00		12/01/17		17,221		18,047		18,431
3128GXAX4	FHLMC GOLD		5.00		11/01/17		25,151		26,290		27,087
3128GXBC9	FHLMC GOLD		5.00		11/01/17		4,711		4,922		5,073
3128GXEA0	FHLMC GOLD		5.00		12/01/17		11,101		11,632		11,881
3128GXEK8	FHLMC GOLD		5.00		12/01/17		5,191		5,438		5,555
3128GXFT8	FHLMC GOLD		5.00		12/01/17		12,691		13,264		13,668
3128GXHA7	FHLMC GOLD		5.00		12/01/17		18,128		18,974		19,524
3128GXHQ2	FHLMC GOLD		5.00		12/01/17		20,250		21,190		21,808
3128GXN36	FHLMC GOLD		5.00		12/01/17		17,910		18,770		19,289
3128GY2H6	FHLMC GOLD		5.00		02/01/18		13,746		14,378		14,804
3128GYF66	FHLMC GOLD		5.00		01/01/18		3,370		3,527		3,630
3128GYG73	FHLMC GOLD		5.00		01/01/18		16,780		17,539		18,071
3128GYKK9	FHLMC GOLD		5.00		01/01/18		2,401		2,511		2,586
3128GYLX0	FHLMC GOLD		5.00		01/01/18		1,450		1,516		1,562
3128GYNT7	FHLMC GOLD		5.00		02/01/18		2,031		2,124		2,187
3128GYQC1	FHLMC GOLD		5.00		02/01/18		15,297		15,999		16,474
3128GYS88	FHLMC GOLD		5.00		02/01/18		1,834		1,922		1,976
3128GYTW4	FHLMC GOLD		5.00		02/01/18		1,825		1,910		1,966
3128GYU44	FHLMC GOLD		5.00		02/01/18		11,548		12,074		12,437
3128GYU51	FHLMC GOLD		5.00		02/01/18		11,821		12,360		12,730
3128GYV35	FHLMC GOLD		5.00		02/01/18		21,419		22,396		23,068
3128GYVB7	FHLMC GOLD		5.50		02/01/18		47,357		50,721		51,110
3128GYVZ4	FHLMC GOLD		5.00		02/01/18		14,081		14,721		15,104
3128GYZE7	FHLMC GOLD		5.00		02/01/18		8,591		8,992		9,218
3128H22V4	FHLMC GOLD		5.00		04/01/18		7,078		7,406		7,594
3128H25K5	FHLMC GOLD		5.00		04/01/18		2,201		2,304		2,370
3128H26F5	FHLMC GOLD		5.00		03/01/18		289		303		309
3128H26M0	FHLMC GOLD		5.50		03/01/18		824,417		883,332		889,760
3128H26W8	FHLMC GOLD		5.50		02/01/18		379,706		406,679		409,801
3128H27K3	FHLMC GOLD		5.00		04/01/18		4,568		4,782		4,919
3128H2B69	FHLMC GOLD		5.00		02/01/18		18,607		19,450		20,039
3128H2B77	FHLMC GOLD		5.00		02/01/18		17,051		17,830		18,363
3128H2B85	FHLMC GOLD		5.00		02/01/18		14,163		14,806		15,253

	Allied World Assurance Company Holdings, AG
	Securities Listing as at December 31, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
3128H2C84	FHLMC GOLD		5.00		02/01/18		3,925		4,105		4,227
3128H2E41	FHLMC GOLD		5.00		03/01/18		21,534		22,526		23,191
3128H2ED1	FHLMC GOLD		5.00		02/01/18		36,791		38,473		39,474
3128H2EG4	FHLMC GOLD		5.00		02/01/18		20,580		21,526		22,164
3128H2LV3	FHLMC GOLD		5.00		02/01/18		16,980		17,752		18,287
3128H2LY7	FHLMC GOLD		5.00		03/01/18		9,265		9,692		9,940
3128H2QV8	FHLMC GOLD		5.00		03/01/18		21,522		22,504		23,179
3128H2T86	FHLMC GOLD		5.00		03/01/18		2,601		2,720		2,791
3128H2TF0	FHLMC GOLD		5.00		03/01/18		20,614		21,558		22,201
3128H2TJ2	FHLMC GOLD		5.00		03/01/18		5,812		6,080		6,259
3128H2TW3	FHLMC GOLD		5.00		03/01/18		17,196		17,990		18,519
3128H2VW0	FHLMC GOLD		5.00		03/01/18		25,258		26,425		27,203
3128H2YM9	FHLMC GOLD		5.00		03/01/18		5,462		5,711		5,882
3128H2YN7	FHLMC GOLD		5.00		03/01/18		7,405		7,748		7,975
3128H2YS6	FHLMC GOLD		5.00		03/01/18		8,508		8,900		9,163
3128H2ZJ5	FHLMC GOLD		5.00		03/01/18		6,467		6,766		6,965
3128H2ZT3	FHLMC GOLD		5.00		04/01/18		8,602		8,997		9,264
3128H2ZU0	FHLMC GOLD		5.00		04/01/18		13,975		14,622		15,050
3128H32W0	FHLMC GOLD		5.00		04/01/18		13,595		14,240		14,641
3128H3C25	FHLMC GOLD		5.00		04/01/18		2,538		2,655		2,733
3128H3CD1	FHLMC GOLD		5.00		04/01/18		3,877		4,060		4,176
3128H3FG1	FHLMC GOLD		5.00		04/01/18		13,550		14,178		14,593
3128H3KN0	FHLMC GOLD		5.00		04/01/18		1,634		1,709		1,760
3128H3MN8	FHLMC GOLD		5.00		04/01/18		22,866		23,922		24,626
3128H3N72	FHLMC GOLD		5.00		04/01/18		5,841		6,109		6,290
3128H3RY9	FHLMC GOLD		5.00		05/01/18		24,552		25,692		26,442
3128H3S36	FHLMC GOLD		5.00		04/01/18		8,753		9,156		9,426
3128H3SZ5	FHLMC GOLD		5.00		05/01/18		11,862		12,410		12,775
3128H3V65	FHLMC GOLD		5.00		05/01/18		4,933		5,160		5,312
3128H3WF4	FHLMC GOLD		5.00		04/01/18		10,283		10,755		11,074
3128H3XU0	FHLMC GOLD		5.00		05/01/18		9,022		9,439		9,716
3128H45V7	FHLMC GOLD		5.00		06/01/18		13,034		13,639		14,037
3128H4J59	FHLMC GOLD		5.00		06/01/18		9,793		10,249		10,546
3128H4JG5	FHLMC GOLD		5.00		05/01/18		10,306		10,781		11,099
3128H4JT7	FHLMC GOLD		5.00		06/01/18		23,718		24,823		25,543
3128H5JX5	FHLMC GOLD		5.00		07/01/18		17,424		18,233		18,765
3128H5RP3	FHLMC GOLD		5.00		07/01/18		9,705		10,156		10,452
3128H5TK2	FHLMC GOLD		5.00		07/01/18		25,719		26,912		27,699
3128H6BG8	FHLMC GOLD		5.00		07/01/18		21,057		22,040		22,678
3128H6CZ5	FHLMC GOLD		5.00		07/01/18		21,455		22,460		23,106
3128H6FR0	FHLMC GOLD		5.00		08/01/18		14,479		15,154		15,593
3128H6FU3	FHLMC GOLD		5.00		08/01/18		11,841		12,396		12,753
3128H6WU4	FHLMC GOLD		5.50		08/01/18		224,247		240,548		242,663
3128H6XM1	FHLMC GOLD		5.00		08/01/18		4,745		4,966		5,110
3128H6ZC1	FHLMC GOLD		5.50		07/01/18		74,355		79,706		80,461
3128H77K2	FHLMC GOLD		5.50		10/01/18		176,893		189,866		191,420
3128JLDM8	FHLMC		2.53		09/01/33		221,122		231,650		231,940
3128JLEY1	FHLMC		2.53		09/01/33		400,333		419,417		428,187
3128JLHB8	FHLMC		2.50		09/01/33		63,677		65,894		67,190
3128JMW45	FHLMC		2.65		11/01/34		92,040		96,291		97,843
3128JMY68	FHLMC		2.75		11/01/34		119,891		124,363		128,804
3128JMZG5	FHLMC		2.66		11/01/34		161,780		169,264		171,937
3128JNAL9	FHLMC		2.69		02/01/35		175,514		183,940		186,402
3128JRP26	FHLMC		2.58		12/01/33		1,781,486		1,880,404		1,881,175
3128K17K1	FHLMC GOLD		5.00		01/01/36		4,559,295		4,824,100		4,905,665
3128KA4Z1	FHLMC GOLD		6.00		06/01/36		80,239		84,209		88,403
3128KE5H2	FHLMC GOLD		6.50		09/01/36		150,377		164,617		167,188
3128KVAR6	FHLMC GOLD		6.50		08/01/37		143,134		156,723		160,607
3128KWBZ5	FHLMC GOLD		6.00		09/01/37		12,882		14,158		14,341
3128KWFX6	FHLMC GOLD		6.00		09/01/37		30,176		33,165		33,592

	Allied World Assurance Company Holdings, AG
	Securities Listing as at December 31, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
3128KWFY4	FHLMC GOLD		6.00		09/01/37		43,512		47,822		48,438
3128KWT29	FHLMC GOLD		6.00		09/01/37		28,275		31,073		31,476
3128KWTK9	FHLMC GOLD		6.00		09/01/37		42,064		46,228		46,827
3128KWTP8	FHLMC GOLD		6.00		09/01/37		37,552		41,269		41,804
3128KWTZ6	FHLMC GOLD		6.00		09/01/37		27,850		30,607		31,003
3128KYXE4	FHLMC GOLD		6.00		04/01/37		18,620		20,464		20,728
3128M4XA6	FHLMC GOLD		5.50		07/01/37		3,079,096		3,303,851		3,360,512
3128M4ZG1	FHLMC GOLD		6.00		07/01/37		3,331		3,661		3,709
3128M5R93	FHLMC GOLD		5.50		02/01/38		741,748		786,812		805,286
3128M6NA2	FHLMC GOLD		5.50		02/01/38		8,792,347		9,448,654		9,545,496
3128M6UB2	FHLMC GOLD		6.00		07/01/38		85,099		93,528		94,734
3128M6V54	FHLMC		5.50		04/01/38		1,844,783		1,982,554		2,002,807
3128M7AZ9	FHLMC GOLD		6.00		12/01/38		230,746		253,613		256,871
3128M7B88	FHLMC GOLD		5.50		02/01/39		469,916		498,444		509,835
3128M7FG6	FHLMC GOLD		5.50		12/01/38		2,319,709		2,460,706		2,516,766
3128M7PN0	FHLMC GOLD		5.00		07/01/39		1,057,414		1,088,705		1,156,445
3128M7T48	FHLMC		5.50		08/01/38		10,253,037		11,018,488		11,131,308
3128M82N3	FHLMC GOLD		4.00		10/01/41		2,987,204		3,088,680		3,141,094
3128M83K8	FHLMC GOLD		4.50		10/01/41		33,410,789		35,030,053		35,404,583
3128M8VG6	FHLMC GOLD		4.00		06/01/41		10,414,198		10,916,153		11,006,023
3128MCUW3	FHLMC GOLD		4.00		12/01/25		8,784,034		8,965,703		9,225,454
3128MJP95	FHLMC GOLD		4.50		05/01/41		2,778,444		2,913,089		2,956,231
3128MJQD5	FHLMC GOLD		4.50		06/01/41		1,979,401		2,075,326		2,106,059
3128MMAC7	FHLMC GOLD		5.00		07/01/19		586,686		625,634		631,005
3128MMLD3	FHLMC GOLD		4.50		09/01/24		2,161,207		2,275,274		2,287,718
3128MMM67	FHLMC GOLD		3.50		03/01/26		868,472		868,707		906,016
3128MMNX7	FHLMC GOLD		3.50		10/01/26		11,397,458		11,913,375		11,897,249
3128NCBH6	FHLMC		2.11		01/01/35		251,698		258,898		259,139
3128PR7G8	FHLMC GOLD		4.00		08/01/25		1,858,051		1,931,532		1,951,423
3128PRVD8	FHLMC GOLD		4.00		06/01/25		1,749,857		1,814,562		1,837,792
3128PRWU9	FHLMC GOLD		4.00		07/01/25		3,937,857		4,083,682		4,135,744
3128PRZ85	FHLMC GOLD		4.00		07/01/25		1,274,644		1,314,594		1,338,699
3128PSBA4	FHLMC GOLD		4.00		08/01/25		3,133,532		3,257,714		3,291,000
3128PUGE6	FHLMC GOLD		3.50		02/01/26		961,933		962,193		1,003,518
3128PUQT2	FHLMC GOLD		3.50		04/01/26		965,505		965,766		1,007,843
3128PURZ7	FHLMC GOLD		3.50		04/01/26		965,903		966,165		1,007,659
3128PUVC3	FHLMC GOLD		3.50		04/01/26		945,012		945,268		986,452
3128PUVP4	FHLMC GOLD		3.50		04/01/26		916,964		917,213		956,605
3128PUW73	FHLMC GOLD		3.50		05/01/26		960,943		961,202		1,002,484
3128PUXF4	FHLMC GOLD		3.50		04/01/26		877,474		877,712		915,408
3128PVBD1	FHLMC GOLD		4.00		05/01/26		5,771,580		5,933,962		6,065,595
3128PVCG3	FHLMC GOLD		4.00		05/01/26		5,349,988		5,500,524		5,622,526
3128PWV21	FHLMC GOLD		3.00		10/01/26		17,795,624		18,335,453		18,382,251
3128PWWS3	FHLMC GOLD		3.00		10/01/26		10,887,217		11,217,679		11,260,648
312929CM2	FHLMC GOLD		6.00		01/01/39		9,098		9,999		10,128
31292K7B7	FHLMC GOLD		5.00		10/01/40		8,650,215		9,173,993		9,303,306
31292KJH1	FHLMC GOLD		6.00		07/01/37		1,717		1,886		1,911
312930LH1	FHLMC GOLD		6.00		01/01/39		24,949		27,421		27,774
312930LQ1	FHLMC GOLD		6.00		01/01/39		37,085		40,761		41,284
312930RC6	FHLMC GOLD		6.00		01/01/39		22,881		24,812		25,472
312930RV4	FHLMC GOLD		6.00		01/01/39		10,976		12,064		12,219
312930TB6	FHLMC GOLD		6.00		01/01/39		11,003		11,928		12,249
312931D62	FHLMC GOLD		4.00		02/01/39		2,652,920		2,686,841		2,783,582
312931TJ7	FHLMC GOLD		5.00		03/01/39		3,095,703		3,273,536		3,329,924
312932CX2	FHLMC GOLD		4.50		04/01/39		3,156,404		3,270,873		3,368,474
312932ZE9	FHLMC GOLD		5.00		05/01/39		83,115		85,724		91,211
3129334R2	FHLMC GOLD		4.00		07/01/39		25,011		26,190		26,243
312933F41	FHLMC GOLD		4.50		06/01/39		4,250,982		4,404,213		4,508,421
3129345K4	FHLMC GOLD		5.00		08/01/39		168,775		173,767		184,581
312934CX8	FHLMC GOLD		4.00		07/01/39		1,805,438		1,890,568		1,894,359

	Allied World Assurance Company Holdings, AG
	Securities Listing as at December 31, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
312934ML3	FHLMC GOLD		4.00		07/01/39		62,716		65,672		65,805
312934PJ5	FHLMC GOLD		5.00		08/01/39		88,758		91,545		97,404
312934R38	FHLMC GOLD		5.00		08/01/39		73,803		76,121		80,992
312934SQ6	FHLMC GOLD		4.00		08/01/39		124,328		130,190		130,452
3129353B3	FHLMC GOLD		4.50		09/01/39		683,310		689,006		724,691
3129356Q7	FHLMC GOLD		4.50		09/01/39		180,235		181,737		191,150
312935AT6	FHLMC GOLD		5.00		08/01/39		161,842		166,630		176,999
312935KY4	FHLMC GOLD		4.50		09/01/39		257,026		259,542		272,591
312935LV9	FHLMC GOLD		4.50		09/01/39		170,369		172,037		180,686
312935MQ9	FHLMC GOLD		4.50		09/01/39		835,513		844,872		902,354
312935MV8	FHLMC GOLD		4.50		09/01/39		1,735,342		1,753,013		1,840,434
312936LH8	FHLMC GOLD		5.00		10/01/39		323,910		337,229		348,417
312936LM7	FHLMC GOLD		5.00		10/01/39		561,835		583,832		614,454
3129385D1	FHLMC GOLD		5.00		01/01/40		87,311		90,773		94,752
3129414L8	FHLMC GOLD		4.00		08/01/40		104,712		103,079		110,597
312941TK3	FHLMC GOLD		4.00		08/01/40		2,294,759		2,402,884		2,423,733
312942ER2	FHLMC GOLD		5.00		09/01/40		2,778,883		2,947,473		2,999,192
312942F83	FHLMC GOLD		4.00		09/01/40		2,982,830		3,123,509		3,150,477
312942KC8	FHLMC GOLD		4.00		09/01/40		289,982		285,462		306,280
312942WW1	FHLMC GOLD		4.00		10/01/40		67,605		66,550		71,404
312943EE9	FHLMC GOLD		5.00		10/01/40		7,025,376		7,451,526		7,555,792
312943HE6	FHLMC GOLD		4.00		11/01/40		327,894		322,780		346,323
312943HT3	FHLMC GOLD		4.00		11/01/40		13,341,529		13,752,604		14,045,511
312943L50	FHLMC GOLD		4.00		11/01/40		92,259		90,820		97,445
312943LY7	FHLMC GOLD		4.00		11/01/40		845,011		884,874		892,504
312944BJ9	FHLMC GOLD		4.00		12/01/40		3,983,039		4,043,065		4,198,188
312944BN0	FHLMC GOLD		4.00		12/01/40		2,013,060		2,043,392		2,115,507
312944CD1	FHLMC GOLD		4.00		12/01/40		223,324		219,842		235,876
312944CS8	FHLMC GOLD		4.00		12/01/40		203,379		200,208		214,810
312944GA3	FHLMC GOLD		4.00		12/01/40		168,240		165,616		177,695
312944H61	FHLMC GOLD		4.00		12/01/40		453,517		446,445		479,007
312944KV2	FHLMC GOLD		4.00		12/01/40		126,638		124,663		133,755
312944LH2	FHLMC GOLD		4.00		12/01/40		705,789		694,781		745,457
312944PE5	FHLMC GOLD		4.00		12/01/40		4,178,554		4,113,385		4,413,405
312944SX0	FHLMC GOLD		4.00		12/01/40		240,854		237,098		254,391
312945DN5	FHLMC GOLD		3.50		01/01/41		6,137,170		5,876,416		6,306,740
31294KDZ5	FHLMC GOLD		5.00		09/01/16		1,258		1,312		1,344
31294KFJ9	FHLMC GOLD		5.00		11/01/16		1,977		2,063		2,113
31294KHD0	FHLMC GOLD		5.00		02/01/17		4,883		5,101		5,226
31294KHL2	FHLMC GOLD		5.00		03/01/17		9,471		9,897		10,200
31294KJT3	FHLMC GOLD		5.00		05/01/17		2,999		3,134		3,216
31294KKU8	FHLMC GOLD		5.00		09/01/17		4,940		5,171		5,287
31294MAK7	FHLMC GOLD		4.00		08/01/25		3,770,805		3,920,582		3,960,298
31294MJP7	FHLMC GOLD		3.50		10/01/26		18,908,173		19,761,596		19,737,317
312962CQ4	FHLMC GOLD		5.00		08/01/18		8,639		9,063		9,304
312962CT8	FHLMC GOLD		5.00		08/01/18		1,282		1,342		1,375
312962KD4	FHLMC GOLD		5.50		10/01/18		96,234		103,350		104,137
312962KT9	FHLMC GOLD		5.00		10/01/18		14,252		14,928		15,349
312962MD2	FHLMC GOLD		5.00		11/01/18		25,118		26,307		27,052
312962Q63	FHLMC GOLD		5.50		10/01/18		14,817		15,904		16,034
312962UW1	FHLMC GOLD		5.50		11/01/18		1,188,100		1,276,849		1,285,669
312963VY4	FHLMC GOLD		5.50		12/01/18		224,861		241,543		243,327
312963WH0	FHLMC GOLD		5.50		12/01/18		17,873		19,205		19,340
312963ZG9	FHLMC GOLD		5.50		11/01/18		48,612		52,200		52,604
3129642B4	FHLMC GOLD		5.50		03/01/19		127,753		137,150		138,411
312964KG3	FHLMC GOLD		5.00		02/01/19		4,384		4,603		4,721
312964WX3	FHLMC GOLD		5.50		10/01/18		374,196		401,612		404,926
312965QA7	FHLMC GOLD		5.50		11/01/18		224,456		240,914		242,889
312966WU4	FHLMC GOLD		5.50		05/01/19		1,332,103		1,431,502		1,443,227
312968QL7	FHLMC GOLD		5.50		12/01/18		1,580,617		1,696,003		1,705,895

	Allied World Assurance Company Holdings, AG
	Securities Listing as at December 31, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
3132GDC67	FHLMC GOLD		4.00		04/01/41		5,739,355		5,720,993		6,032,326
3132GDS86	FHLMC GOLD		4.50		05/01/41		8,570,362		8,985,689		9,118,764
3132GKDG8	FHLMC GOLD		4.00		10/01/41		1,992,910		2,060,570		2,095,577
3132GKEE2	FHLMC GOLD		4.00		10/01/41		697,570		721,424		735,468
3132GKLA2	FHLMC GOLD		4.00		10/01/41		299,165		309,413		315,418
31342A6F1	FHLMC		2.37		09/01/33		391,290		408,138		411,073
31349UCW6	FHLMC		2.23		10/01/34		169,921		176,559		177,869
31349UEJ3	FHLMC		2.38		11/01/34		337,484		352,795		355,495
31349ULB2	FHLMC		2.48		02/01/35		332,210		345,110		349,931
31349UMF2	FHLMC		2.48		03/01/35		550,761		567,688		576,343
31371LHQ5	FNMA		4.00		12/01/13		98,891		102,310		102,031
31371LNH8	FNMA		4.00		04/01/14		23,934		24,788		24,524
31371LZJ1	FNMA		4.00		01/01/15		265,989		275,022		276,304
31371M5M5	FNMA		5.50		01/01/37		321,272		344,229		349,767
31371MG92	FNMA		4.00		09/01/15		76,330		79,271		79,805
31371NCJ2	FNMA		5.50		04/01/37		9,960		10,672		10,843
31371NP25	FNMA		5.50		01/01/38		1,802,419		1,915,456		1,962,161
31379T6G4	FNMA		5.00		02/01/14		11,555		11,968		12,437
3137A83K2	FHR_3820D DA		4.00		11/15/35		22,118,708		22,746,888		23,529,881
3137AEV77	FHLMC		2.70		05/25/18		8,300,000		8,378,664		8,564,936
31381QFF8	FNMA		3.75		03/01/18		8,500,000		8,663,157		9,174,220
31382NR20	FNMA		5.50		04/01/29		397		425		433
31385RB58	FNMA		8.50		04/01/30		1,019,687		1,131,903		1,172,640
31385XK48	FNMA		2.43		07/01/33		228,283		236,661		240,178
31388XVV3	FNMA		2.53		08/01/33		6,158,907		6,380,904		6,326,963
31389EVA0	FNMA		6.50		12/01/16		1,400,153		1,496,726		1,533,769
31389EVB8	FNMA		6.50		12/01/16		1,589,978		1,701,032		1,741,710
31389XHM8	FNMA		6.00		03/01/12		19,246		19,460		20,744
3138A1BA8	FNMA		4.00		01/01/41		3,689,109		3,723,479		3,881,121
3138A1HR5	FNMA		4.00		12/01/40		1,708,427		1,736,952		1,797,241
3138A1R78	FNMA		3.50		12/01/40		239,321		243,984		246,342
3138A2CK3	FNMA		4.00		12/01/25		4,036,862		4,207,681		4,258,337
3138A2FJ3	FNMA		4.00		12/01/25		233,883		243,776		246,715
3138A2HF9	FNMA		4.00		01/01/41		954,562		963,519		1,004,484
3138A2PD5	FNMA		3.50		01/01/26		8,404,167		8,361,525		8,791,419
3138A2ZZ5	FNMA		4.00		07/01/41		992,362		1,001,644		1,044,013
3138A3DJ3	FNMA		4.00		03/01/26		262,519		273,620		277,291
3138A3VB0	FNMA		4.00		01/01/41		4,137,770		4,055,982		4,374,858
3138A5RN4	FNMA		4.00		02/01/26		87,375		91,073		92,292
3138A6E97	FNMA		4.00		02/01/41		922,584		931,214		970,603
3138A6LJ7	FNMA		4.00		02/01/26		18,953,837		19,755,197		20,020,430
3138A6RH5	FNMA		4.00		01/01/41		32,186		32,487		33,861
3138A7FR4	FNMA		4.00		02/01/41		1,646,082		1,703,272		1,731,758
3138A7G69	FNMA		4.00		02/01/26		109,406		114,031		115,563
3138A7HY7	FNMA		3.50		02/01/41		1,842,673		1,769,454		1,896,733
3138A7QK7	FNMA		3.50		02/01/41		1,354,438		1,375,711		1,394,586
3138A8A48	FNMA		4.00		02/01/41		929,835		938,554		978,231
3138A8MD5	FNMA		4.00		02/01/41		5,210,350		5,391,320		5,481,540
3138A9CZ5	FNMA		4.00		03/01/41		4,227,402		4,143,960		4,447,168
3138AA4M0	FNMA		4.50		03/01/41		5,001,640		5,182,222		5,390,451
3138AAKX8	FNMA		4.00		04/01/41		215,983		211,714		227,224
3138AAYW5	FNMA		4.00		03/01/41		5,679,804		5,668,700		5,975,429
3138AB2D0	FNMA		4.00		02/01/41		153,291		150,262		161,269
3138ADER2	FNMA		4.00		04/01/41		389,082		392,708		409,333
3138AEZG1	FNMA		4.00		07/01/41		942,130		950,941		991,167
3138AFH86	FNMA		4.00		05/01/41		586,425		591,892		616,947
3138AFKH2	FNMA		4.00		05/01/26		97,831		101,965		103,336
3138AFXZ8	FNMA		4.00		05/01/26		260,395		271,424		275,048
3138AG6Q6	FNMA		4.00		06/01/26		349,120		363,879		368,766
3138AGQB7	FNMA		4.00		04/01/26		308,649		321,715		326,018

	Allied World Assurance Company Holdings, AG
	Securities Listing as at December 31, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
3138AGQQ4	FNMA		4.00		05/01/26		101,296		105,585		106,996
3138AKEL9	FNMA		4.00		05/01/26		155,293		161,870		164,032
3138AKGL7	FNMA		4.50		07/01/41		338,302		359,594		361,142
3138ANCX9	FNMA		4.00		08/01/41		25,857,159		27,084,023		27,282,175
3138ANPU1	FNMA		4.00		08/01/41		9,200,045		9,528,629		9,678,892
3138ANZG1	FNMA		4.50		08/01/41		221,797		235,756		236,771
3138ATFR6	FNMA		4.00		10/01/41		7,904,912		8,170,437		8,316,349
3138AUNC7	FNMA		3.50		11/01/41		420,044		428,230		432,495
3138AUP84	FNMA		4.50		10/01/41		55,719		59,226		59,481
3138AUW37	FNMA		4.00		10/01/41		478,585		500,729		503,494
3138AV5V3	FNMA		3.50		11/01/41		185,042		188,650		190,527
3138AVD77	FNMA		4.00		10/01/41		6,968,318		7,203,601		7,331,007
3138AVQE8	FNMA		4.00		10/01/41		541,095		565,868		569,258
3138AVQN8	FNMA		4.50		10/01/41		240,032		255,140		256,238
3138AVS63	FNMA		3.50		10/01/41		2,540,097		2,559,823		2,615,390
3138AVSY2	FNMA		4.50		10/01/41		40,293		42,829		43,014
3138AW3K7	FNMA		4.00		11/01/41		8,985,375		9,367,679		9,458,105
3138AXVP3	FNMA		3.50		11/01/41		10,996,577		11,152,069		11,322,534
3138AXYL9	FNMA		3.50		11/01/41		998,254		1,017,668		1,027,844
3138E0BT5	FNMA		4.00		12/01/41		316,927		331,592		333,423
3138E0ED7	FNMA		3.50		11/01/41		58,628		59,771		60,366
3138E1HN0	FNMA		4.00		12/01/41		6,663,393		6,971,716		7,010,212
3138E1HV2	FNMA		4.00		12/01/41		2,000,000		2,092,777		2,104,097
3138E42T7	FNMA		4.00		01/01/42		332,309		347,741		349,605
3138E42X8	FNMA		4.00		01/01/42		1,441,819		1,508,776		1,516,863
3138E42Y6	FNMA		4.00		01/01/42		276,136		288,960		290,508
3138E43A7	FNMA		4.00		01/01/42		874,425		915,033		919,937
3138E43B5	FNMA		4.00		01/01/42		75,311		78,808		79,231
3138EGF58	FNMA		5.00		05/01/41		5,579,255		6,007,195		6,038,955
3138EGFB5	FNMA		4.00		04/01/41		20,972,457		21,146,003		22,039,503
3138EGGY4	FNMA		5.00		04/01/41		2,640,454		2,842,980		2,858,013
3138EGH72	FNMA		4.00		03/01/26		1,494,208		1,557,415		1,576,185
3138EGHV9	FNMA		4.00		01/01/26		214,787		223,874		226,570
3138EGHW7	FNMA		5.00		04/01/41		920,845		981,811		1,000,423
3138EGKX1	FNMA		6.00		01/01/40		9,446,224		10,374,080		10,405,435
3138EGQJ6	FNMA		5.00		06/01/41		808,826		870,865		875,469
3138EHBB7	FNMA		5.00		10/01/41		37,438,782		40,310,504		40,764,002
3138EHBC5	FNMA		5.00		02/01/41		6,477,697		6,974,526		7,037,490
3138NJAE8	FNMA		3.63		12/01/20		2,274,911		2,211,853		2,439,728
3138NJAK4	FNMA		3.42		10/01/20		3,065,093		2,942,218		3,247,926
31391YV87	FNMA		6.00		01/01/33		2,553		2,688		2,844
31393DL74	FNMA CMO		4.00		04/25/30		221,727		224,142		224,221
31393EFX2	FNMA CMO		4.25		05/25/22		308,830		311,202		313,713
31393KLM5	FHLMC		4.00		07/15/17		124,586		126,302		125,990
31393VPH8	FHLMC_2627		4.50		07/15/17		4,591,918		4,612,707		4,603,857
31395RAR9	FHLMC		4.38		04/15/15		26,612		26,599		26,612
31396A7E8	FHLMC_3035		0.00		09/15/35		40,949		40,841		40,594
31400JM55	FNMA		5.50		05/01/33		1,872		2,013		2,058
31400QJ87	FNMA		2.35		03/01/33		23,823		24,476		25,098
31402GP98	FNMA		5.00		07/01/33		6,287		6,506		6,898
31402QXK2	FNMA		8.50		02/01/31		663,329		730,443		756,195
31402RJV2	FNMA		5.00		07/01/35		30,291,831		32,520,382		32,730,130
31402YSV7	FNMA		2.63		09/01/33		26,136		27,406		27,761
31403DC56	FNMA		4.50		12/01/20		2,376,713		2,517,960		2,546,068
31403DC72	FNMA		4.50		11/01/20		1,830,035		1,940,314		1,958,375
31403DJG5	FNMA		5.50		08/01/34		21,870		23,422		23,933
31403KDB6	FNMA		2.32		12/01/33		10,961		11,155		11,258
31404NBP0	FNMA		2.41		02/01/35		126,140		131,215		134,117
31404SFP5	FNMA		5.50		04/01/34		6,155		6,620		6,766
31405QNR5	FNMA		5.50		10/01/34		1,208		1,299		1,328

	Allied World Assurance Company Holdings, AG
	Securities Listing as at December 31, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
31405UMM8	FNMA		2.33		10/01/34		125,174		128,652		131,640
31405UTZ2	FNMA		2.29		11/01/34		33,079		34,422		35,009
31406BB90	FNMA		2.49		01/01/35		193,481		197,844		205,529
31406BEZ9	FNMA		2.45		12/01/34		170,074		175,478		179,006
31406BJF8	FNMA		2.43		01/01/35		190,021		196,139		201,841
31406BQQ6	FNMA		2.35		01/01/35		246,050		253,690		261,164
31406DG67	FNMA		2.53		11/01/34		875,628		908,880		928,109
31406MYP5	FNMA		2.15		03/01/35		381,239		389,562		397,118
31406TLC3	FNMA		2.69		04/01/35		379,500		395,409		402,795
31406TWR8	FNMA		1.91		01/01/35		881,734		905,227		909,737
31406VHE9	FNMA		2.43		05/01/35		200,975		207,539		211,547
31407CE29	FNMA		5.50		07/01/35		1,051		1,130		1,155
31407FG53	FNMA		5.50		08/01/35		2,369		2,547		2,604
31407FUW8	FNMA		2.35		08/01/35		3,197,147		3,282,090		3,314,839
31408AG53	FNMA		6.00		02/01/36		45,499		47,920		50,408
31408GFA0	FNMA		6.00		12/01/35		445,945		469,663		493,894
31409A5P0	FNMA		6.00		03/01/36		143,974		151,633		159,508
31409AYE3	FNMA		6.00		03/01/36		388,391		409,056		428,458
31409CRY3	FNMA		6.00		02/01/36		281,982		296,948		312,407
31409GML7	FNMA		6.50		07/01/36		1,430,608		1,563,322		1,594,050
31409UB38	FNMA		6.00		03/01/36		53,228		56,059		58,634
31409VYW7	FNMA		6.00		04/01/36		75,211		79,212		83,325
31410CJV5	FNMA		6.00		05/01/36		18,214		19,182		20,093
31410FUS2	FNMA		5.50		12/01/36		110,293		118,172		120,075
31410FVW2	FNMA		5.50		02/01/37		7,480		8,014		8,143
31410GD83	FNMA		2.50		04/01/34		73,425		76,727		78,145
31410GDF7	FNMA		1.86		06/01/33		291,199		303,584		307,010
31410GDL4	FNMA		2.39		02/01/35		1,271,777		1,316,464		1,346,393
31410GDN0	FNMA		2.45		06/01/33		200,745		209,436		209,740
31410GDP5	FNMA		4.94		06/01/35		3,185,930		3,362,104		3,385,121
31410GDY6	FNMA		2.47		01/01/35		67,678		69,901		71,587
31410KEM2	FNMA		5.50		04/01/38		6,934,037		7,424,858		7,548,576
31410KGQ1	FNMA		6.00		05/01/38		7,387,077		8,005,921		8,135,626
31410KJY1	FNMA		6.00		05/01/38		120,244		132,494		132,455
31410KLD4	FNMA		5.50		05/01/38		1,554,391		1,651,798		1,691,671
31410KMQ4	FNMA		5.50		06/01/38		825,602		877,261		898,517
31410KNA8	FNMA		5.50		07/01/38		371,212		394,493		403,996
31410KS47	FNMA		5.50		12/01/35		10,808		11,577		11,828
31410KX74	FNMA		5.50		09/01/36		6,246,531		6,703,853		6,837,420
31410LBU5	FNMA		4.00		09/01/25		2,982,598		3,116,181		3,144,275
31410MMX5	FNMA		6.00		04/01/36		402,265		423,670		445,668
31410QR86	FNMA		5.50		11/01/36		254,715		272,908		277,307
31411A5M3	FNMA		5.50		12/01/36		15,934,457		17,072,343		17,347,765
31411A7C3	FNMA		5.50		12/01/36		3,966,104		4,249,461		4,317,878
31411E2F3	FNMA		5.50		01/01/37		34,636		37,111		37,708
31411EFN2	FNMA		5.50		12/01/36		556,212		595,916		605,545
31411KLN1	FNMA		5.50		03/01/37		405,494		434,441		441,431
31411NUT2	FNMA		5.50		02/01/37		632,256		677,379		688,291
31411URL7	FNMA		5.50		04/01/37		635,191		680,533		691,486
31411VMN6	FNMA		5.50		03/01/37		21,223,068		22,766,437		23,103,990
31412ACH5	FNMA		5.50		04/01/37		308,077		330,069		335,381
31412DXY9	FNMA		5.50		01/01/37		74,140		79,430		80,716
31412ESY3	FNMA		6.00		01/01/37		42,472		44,728		47,055
31412MYZ5	FNMA		5.50		06/01/38		757,237		804,584		824,115
31412N6G6	FNMA		4.50		03/01/39		80,998		81,703		87,523
31412NXE1	FNMA		5.00		01/01/39		2,090,636		2,219,781		2,260,897
31412NZ33	FNMA		5.00		02/01/39		75,963		78,358		83,584
31412P2M2	FNMA		5.00		07/01/39		694,126		745,778		751,318
31412P5R8	FNMA		4.50		07/01/39		42,706		43,979		46,266
31412PBJ9	FNMA		4.50		03/01/24		29,920,507		31,537,237		31,873,202

	Allied World Assurance Company Holdings, AG
	Securities Listing as at December 31, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
31412PP88	FNMA		5.00		05/01/39		240,460		247,713		263,831
31412PRN3	FNMA		4.00		05/01/24		6,645,916		6,943,381		7,006,169
31412PXF3	FNMA		4.50		06/01/39		118,926		119,805		126,654
31412Q2V0	FNMA		4.50		01/01/40		3,636,401		3,717,535		3,872,694
31412QE62	FNMA		4.50		08/01/39		139,351		143,505		148,406
31412QE70	FNMA		5.00		08/01/39		4,637,770		4,819,473		5,103,022
31412QHF9	FNMA		5.50		08/01/39		743,540		790,234		813,268
31412QKA6	FNMA		4.00		09/01/24		69,874		72,819		73,662
31412RG76	FNMA		4.00		04/01/25		7,672,648		7,817,935		8,151,138
31412RGG6	FNMA		5.00		04/01/40		374,506		390,146		405,006
31412RH42	FNMA		5.00		04/01/40		10,430,942		10,866,540		11,273,971
31412TKJ1	FNMA		6.00		11/01/38		6,437,213		6,975,983		7,095,545
31412TM26	FNMA		5.50		06/01/38		5,098,071		5,465,952		5,555,470
31412UEQ9	FNMA		4.50		09/01/39		457,857		471,507		496,024
31412URR3	FNMA		4.00		07/01/24		7,645,584		7,989,222		8,060,025
31412UY53	FNMA		4.50		08/01/39		314,382		317,815		340,590
31412V4G0	FNMA		5.50		07/01/37		377,808		404,825		411,292
31413BTW1	FNMA		5.50		06/01/37		5,868,522		6,295,368		6,388,627
31413CLH0	FNMA		6.00		07/01/37		4,509,850		4,886,716		4,970,847
31413ES55	FNMA		5.50		08/01/37		15,147		16,227		16,489
31413NY66	FNMA		6.00		11/01/37		3,785,101		4,101,993		4,172,014
31413R2P0	FNMA		6.00		12/01/37		5,136,193		5,580,337		5,690,362
31413TK68	FNMA		5.50		12/01/37		343,884		368,482		374,361
31413TWV0	FNMA		5.50		01/01/38		600,649		638,363		653,882
31413UUD9	FNMA		5.50		01/01/38		141,341		151,457		153,867
31414ANH1	FNMA		5.50		12/01/37		845,645		898,682		920,591
31414GWU9	FNMA		5.50		02/01/38		589,162		631,275		641,195
31414HZ67	FNMA		5.50		12/01/37		325,035		345,422		353,842
31414NCH5	FNMA		6.00		12/01/38		2,056,519		2,234,057		2,278,407
31414NH31	FNMA		5.00		02/01/39		2,134,514		2,264,387		2,348,644
31414NH49	FNMA		5.00		02/01/39		2,528,994		2,679,639		2,774,795
31415QTY2	FNMA		6.00		07/01/38		2,490,776		2,699,369		2,745,507
31415SRP9	FNMA		5.50		11/01/38		475,021		508,997		516,974
31415WA60	FNMA		4.50		01/01/39		71,391		73,519		77,342
31415YLZ0	FNMA		4.00		07/01/24		1,947,348		2,029,291		2,052,907
31416AQ29	FNMA		4.00		07/01/24		289,013		301,207		304,680
31416JZM6	FNMA		5.00		02/01/39		3,221,603		3,408,068		3,482,456
31416M5A8	FNMA		5.00		03/01/39		4,117,133		4,346,987		4,468,399
31416MLA0	FNMA		4.50		03/01/39		41,218		41,575		44,538
31416MVP6	FNMA		4.50		04/01/39		81,925		82,638		88,524
31416N5T5	FNMA		4.50		04/01/39		198,198		200,362		214,162
31416NHE5	FNMA		5.00		08/01/40		1,032,536		1,097,459		1,116,626
31416NRD6	FNMA		4.50		03/01/39		31,536		31,808		34,076
31416QJZ9	FNMA		5.00		05/01/39		94,844		97,834		104,359
31416QMS1	FNMA		4.00		06/01/24		991,933		1,033,741		1,045,702
31416QV51	FNMA		4.50		08/01/39		38,843		39,130		41,368
31416RNK5	FNMA		4.50		07/01/39		63,824		65,727		69,144
31416S6B2	FNMA		4.50		07/01/39		109,849		110,661		116,987
31416SD40	FNMA		4.50		07/01/39		108,480		109,283		115,529
31416SED9	FNMA		5.00		07/01/39		77,065		79,495		83,294
31416SLC3	FNMA		4.50		06/01/39		120,439		121,331		128,266
31416T3D9	FNMA		4.50		07/01/39		405,235		409,661		439,016
31416T7K9	FNMA		4.50		07/01/39		54,854		55,260		59,427
31416TAG4	FNMA		4.50		07/01/39		156,769		159,231		166,956
31416TAL3	FNMA		5.00		07/01/39		87,314		90,066		96,073
31416TB65	FNMA		4.50		08/01/39		219,171		225,705		233,413
31416TE47	FNMA		4.50		08/01/39		109,502		110,197		118,323
31416TEE5	FNMA		4.50		08/01/39		153,863		155,975		163,861
31416TEF2	FNMA		4.50		08/01/39		106,279		106,953		114,839
31416TKG3	FNMA		5.00		06/01/39		95,327		98,330		103,045

	Allied World Assurance Company Holdings, AG
	Securities Listing as at December 31, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
31416W7J5	FNMA		3.50		11/01/40		3,795,281		3,641,574		3,906,626
31416WD66	FNMA		5.00		05/01/40		673,143		701,256		727,963
31416WE57	FNMA		5.00		05/01/40		10,825,761		11,277,872		11,700,699
31416WFG2	FNMA		4.00		05/01/25		26,237		27,345		27,677
31416XJ92	FNMA		4.00		01/01/41		554,851		543,915		583,081
31417AEQ8	FNMA		3.50		06/01/41		122,797		125,185		126,437
31417ALQ0	FNMA		3.50		11/01/41		4,979,733		5,018,404		5,127,341
31417J2B5	FNMA		5.00		09/01/39		54,149		56,147		58,525
31417JSB7	FNMA		4.50		07/01/39		36,593		36,825		38,971
31417KAZ0	FNMA		4.50		07/01/39		34,580		34,835		36,827
31417KXH5	FNMA		4.50		08/01/39		3,224,671		3,320,793		3,493,484
31417L5B7	FNMA		4.50		10/01/39		772,367		818,589		821,734
31417LLX1	FNMA		5.00		07/01/39		140,958		145,403		155,099
31417M2V4	FNMA		4.50		08/01/39		82,049		84,497		88,889
31417M2W2	FNMA		4.50		08/01/39		18,961		19,126		20,488
31417MFB4	FNMA		4.50		08/01/39		208,367		209,688		221,906
31417MPN7	FNMA		5.00		09/01/39		95,880		99,417		103,629
31417MQT3	FNMA		5.00		10/01/39		63,540		65,884		68,675
31417MTC7	FNMA		4.50		09/01/39		472,446		479,231		511,830
31417MVC4	FNMA		4.50		10/01/39		427,049		434,406		462,649
31417NB42	FNMA		4.50		10/01/39		104,144		107,249		112,825
31417NCL3	FNMA		4.50		10/01/24		5,328,024		5,632,574		5,776,124
31417NDN8	FNMA		4.50		11/01/24		5,792,974		6,101,317		6,177,512
31417NL41	FNMA		4.50		01/01/40		234,335		239,563		249,562
31417NZV6	FNMA		4.50		09/01/39		87,055		89,651		92,712
31417QS62	FNMA		4.00		10/01/24		20,319		21,176		21,420
31417QTZ7	FNMA		4.50		10/01/24		5,733,469		6,039,598		6,114,056
31417QU93	FNMA		4.50		10/01/39		247,510		254,889		268,143
31417QUG7	FNMA		4.50		10/01/39		930,857		941,022		1,008,455
31417SY95	FNMA		4.50		11/01/39		41,314		42,546		43,999
31417SYT1	FNMA		4.50		11/01/39		85,255		85,998		92,122
31417TB98	FNMA		4.50		01/01/40		133,486		136,465		142,160
31417TKX5	FNMA		4.50		11/01/39		22,379		22,879		23,834
31417TL97	FNMA		4.50		12/01/39		388,226		392,466		420,590
31417TQE1	FNMA		4.50		01/01/40		586,754		593,164		635,666
31417UNB7	FNMA		4.50		11/01/39		162,493		166,117		173,052
31417UXN0	FNMA		4.00		02/01/25		124,757		130,019		131,601
31417VJE4	FNMA		4.50		12/01/39		123,108		125,854		131,108
31417VJS3	FNMA		4.50		12/01/39		28,556		28,805		30,411
31417VKE2	FNMA		4.50		01/01/40		122,023		124,746		129,952
31417VQT3	FNMA		4.50		01/01/40		1,751,808		1,790,907		1,897,841
31417VY64	FNMA		4.50		12/01/39		222,383		227,346		236,834
31417VYY3	FNMA		4.00		02/01/25		293,445		305,840		309,544
31417Y3H8	FNMA		4.00		07/01/26		1,459,300		1,521,124		1,541,420
31417YX51	FNMA		4.00		04/01/41		487,794		478,179		513,183
31418ABA5	FNMA		3.50		12/01/41		938,731		957,006		966,557
31418MC91	FNMA		6.00		11/01/38		710,881		783,644		783,067
31418MT93	FNMA		4.50		01/01/40		1,626,622		1,643,896		1,730,590
31418MUL4	FNMA		4.50		12/01/39		768,535		775,232		818,474
31418PCP8	FNMA		5.00		09/01/40		284,465		302,356		307,632
31418PD44	FNMA		4.50		01/01/40		231,329		236,494		250,613
31418RHE4	FNMA		4.00		04/01/25		469,883		489,708		495,662
31418SJB6	FNMA		4.00		04/01/25		35,377		36,872		37,318
31418UCZ5	FNMA		4.00		05/01/25		243,462		253,704		256,819
31418UVY7	FNMA		4.00		06/01/25		364,223		379,598		384,205
31418W6Y1	FNMA		5.00		09/01/40		531,504		564,825		574,790
31418W7J3	FNMA		5.00		09/01/40		341,263		362,659		369,055
31418XF52	FNMA		4.50		09/01/40		11,755,200		12,317,430		12,515,897
31419ADT1	FNMA		4.00		07/01/40		14,447,324		14,518,994		15,175,552
31419ANK9	FNMA		5.50		10/01/39		1,974,879		2,100,821		2,149,295

	Allied World Assurance Company Holdings, AG
	Securities Listing as at December 31, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
31419AX44	FNMA		4.50		12/01/40		19,496,855		20,590,105		20,758,526
31419BBT1	FNMA		4.00		02/01/41		6,597,991		6,415,181		6,933,687
31419DDU2	FNMA		3.50		10/01/41		1,442,398		1,453,502		1,485,153
31419DJY8	FNMA		4.00		08/01/25		6,480,010		6,753,868		6,835,523
31419DTQ4	FNMA		5.00		09/01/40		697,577		741,493		754,387
31419DV99	FNMA		4.00		10/01/40		16,995,021		17,263,357		17,921,013
31419E6N4	FNMA		4.00		03/01/41		1,913,437		1,875,627		2,013,029
31419ENB1	FNMA		5.00		09/01/40		1,497,350		1,591,494		1,622,294
31419EU80	FNMA		5.00		09/01/40		270,787		287,869		292,840
31419EXR5	FNMA		3.50		09/01/40		3,269,025		3,136,613		3,364,932
31419FCP9	FNMA		4.00		06/01/26		2,841,071		2,961,184		3,000,947
31419FND4	FNMA		4.00		10/01/40		17,191		17,787		18,066
31419FSH0	FNMA		4.00		12/01/25		102,195		106,517		107,801
31419FVS2	FNMA		3.50		10/01/40		7,949,904		8,074,673		8,183,138
31419FWK8	FNMA		4.00		10/01/40		9,344,125		9,667,515		9,819,539
31419GBX1	FNMA		3.50		10/01/40		333,615		338,861		343,402
31419GXN9	FNMA		4.00		10/01/40		9,942,103		9,670,884		10,447,942
31419HC67	FNMA		4.00		02/01/41		2,445,795		2,468,697		2,573,094
31419HKM3	FNMA		3.50		10/01/40		1,759,638		1,787,314		1,811,262
31419HKN1	FNMA		4.00		10/01/40		470,169		474,557		494,091
31419HVP4	FNMA		4.00		11/01/40		258,148		267,354		271,282
31419JET1	FNMA		3.50		11/01/25		10,052,658		10,309,956		10,521,816
31419JN79	FNMA		3.50		11/01/40		241,577		245,358		248,665
31419JZ43	FNMA		3.50		12/01/40		3,862,086		3,922,909		3,975,391
31419KVG7	FNMA		3.50		11/01/40		1,533,900		1,557,924		1,578,902
31419L5A7	FNMA		4.00		11/01/40		1,581,464		1,606,423		1,667,632
31419LYE7	FNMA		4.50		11/01/40		185,812		196,933		197,836
31419LZV8	FNMA		3.50		12/01/40		6,901,524		7,035,859		7,104,001
31421AAU7	FNMA		5.50		12/01/38		4,662		5,001		5,080
36206XC43	GNMA		7.00		05/15/31		945		1,056		1,112
3620A9SW2	GNMA		4.50		09/15/39		455,583		460,292		497,966
3620AQ7C1	GNMA		5.00		04/15/40		9,658,992		10,276,453		10,709,136
3620ARAE1	GNMA		5.00		04/15/40		1,684,630		1,791,912		1,867,786
36212PPP1	GNMA		7.00		04/15/31		11,103		12,419		13,070
36212U5G2	GNMA		7.00		05/15/31		15,888		17,773		18,704
36213HGU7	GNMA		7.00		03/15/31		1,662		1,859		1,957
36225DM43	GNMA		1.75		03/20/35		10,507,835		10,753,381		10,856,204
36241KV39	GNMA		4.50		08/15/38		7,582,300		7,910,021		8,294,808
36241KV47	GNMA		4.50		09/15/38		5,998,755		6,257,611		6,546,259
36241KWA2	GNMA		4.50		10/15/38		3,449,468		3,595,154		3,764,301
36295QK82	GNMA		5.00		08/15/38		2,525,255		2,686,393		2,797,740
36297FYL0	GNMA		4.50		10/15/39		90,474		91,548		98,891
38373QGX3	GNMA		4.00		04/20/33		343,274		355,802		368,559
38376TBF8	GNMA		4.50		01/16/40		335,128		353,954		362,772
38376VDX2	GNMA		3.00		12/20/38		4,162,217		4,214,669		4,336,822
62888VAB4	NCUA GUARANTEED NOTES		1.84		10/07/20		1,378,264		1,378,163		1,386,879
							1,116,453,704		1,156,912,844		1,183,893,179
Non Agency RMBS
04271AAB7	ARRMF		0.62		09/16/56		446,248		441,340		442,945
05948X6X4	BANK OF AMERICA MTG SEC		4.75		06/25/19		3,529,192		3,546,310		3,623,668
07384MWF5	BSARM		2.81		08/25/33		121,634		110,883		103,831
126380AB0	CSMC		5.50		11/25/36		2,067,045		1,687,614		1,674,306
126384AJ5	CSMC		5.00		03/25/37		480,130		453,483		457,165
12638PBU2	CSMC		5.00		04/25/37		693,402		574,371		621,774
12669E5B8	CWHL		5.00		11/25/18		549,310		562,452		563,993
12669EYQ3	COUNTRYWIDE HOME LOANS TR		2.87		08/25/33		85,488		64,882		63,539
16162WLM9	CHASE		5.50		10/25/35		9,597,494		9,140,395		8,927,973
161630AC2	CHASE		2.76		02/25/37		11,409,428		11,381,817		11,037,367
161630AG3	CHASE		2.76		02/25/37		20,618,523		19,323,093		19,303,474

	Allied World Assurance Company Holdings, AG
	Securities Listing as at December 31, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
161630AN8	CHASE		2.73		02/25/37		3,203,696		3,147,328		2,896,045
161630AQ1	CHASE		2.75		02/25/37		2,563,139		2,359,147		2,205,838
1729733P2	CMSI		5.00		10/25/35		8,985,535		8,723,658		8,689,911
38741QAC0	GRAN		0.91		07/20/43		65,843		62,654		63,104
38741SAF9	GRAN		0.84		09/20/44		26,849		25,134		25,842
449670EQ7	IMC HOME EQUITY LOAN TRUST		6.34		08/20/29		128,476		125,863		125,781
46630GAA3	JPMMT		2.81		07/25/35		6,770,996		6,351,805		6,043,588
46630GAD7	JPMMT		2.77		07/25/35		2,323,191		2,161,700		1,956,429
46630GAN5	JPMMT_07-A1		2.78		07/25/35		1,692,904		1,598,549		1,523,732
46630GAS4	JPMMT		2.80		07/25/35		6,844,947		6,403,190		5,992,203
525170BL9	LABS		5.00		12/25/33		9,613,370		9,536,791		9,449,174
55265K5Q8	MASTR		4.75		01/25/34		173,591		173,285		174,141
576433QQ2	MARM_04-8		1.69		09/25/34		1,218,144		920,670		887,381
589929W53	MLMI		2.59		07/25/33		171,212		172,950		155,553
76110H2P3	RES ASSET SEC		2.87		03/25/35		1,634,717		996,425		725,471
76110HHG7	RFMSI_03-Q16		5.00		08/25/18		5,901,361		5,735,848		5,988,996
863579KY3	SARM		2.57		02/25/35		2,452,900		1,740,371		1,655,241
86359BGD7	STRUCTURED ASSET SEC CORP		2.54		02/25/34		127,651		104,679		100,657
86359BVE8	STRUCTURED ASSET SEC CORP		2.53		06/25/34		9,387,635		8,478,656		7,744,799
92922F4M7	WASHINGTON MUTUAL		0.58		10/25/45		1,154,007		658,583		830,885
92922F4P0	WAMU		1.07		10/25/45		5,682,797		4,593,847		4,279,885
92922FB49	WASHINGTON MUTUAL		0.65		11/25/34		362,103		197,850		251,383
92922FZF8	WAMU_04-A12		0.68		10/25/44		6,664,122		3,748,184		4,580,984
949781AA6	WFMBS		2.72		02/25/35		3,284,152		3,067,497		2,885,948
94982BAG5	WFMBS		2.73		06/25/35		4,696,399		4,399,671		4,292,274
							134,727,629		122,770,974		120,345,281
Non Agency RMBS - High Yield Mandate
02660BAA0	AHMA_07-1		0.90		02/25/47		8,750,728		4,315,311		3,466,251
02660UAE0	AHMA_06-3		1.15		10/25/46		10,413,180		4,520,825		4,732,061
05949QAH8	BANC OF AMERICA FUNDING CORPOR		6.25		03/25/36		1,250,000		1,180,625		1,141,925
05954DAG1	BAFC		5.56		07/20/47		6,025,078		3,694,612		3,737,657
07384MWF5	BSARM		2.81		08/25/33		24,327		22,177		20,767
073868AA9	BALTA_06-6		0.45		11/25/36		14,786,159		5,765,254		5,112,906
07401AAA5	BSMF		0.49		09/25/46		9,520,183		4,691,653		4,307,559
07401YAQ8	BEAR STEARNS MORTGAGE FUNDING		0.50		06/25/37		13,220,269		7,563,910		7,028,159
12566VAE2	CMALT_07-A4		5.75		04/25/37		4,349,175		3,161,132		2,830,443
12566XAK4	CMA_07-A7		0.69		07/25/37		6,679,197		3,982,889		3,599,352
12667GNS8	COUNTRYWIDE ALTERNATIVE LOAN T		1.52		07/20/35		945,436		420,820		499,855
12668BCG6	CWALT		6.00		02/25/36		727,967		530,310		473,127
12668BPY3	CWALT		5.50		04/25/36		13,430,344		8,540,757		9,335,432
126694A32	COUNTRYWIDE HOME LOANS		0.49		03/20/46		1,868,069		869,770		990,076
12669EYQ3	COUNTRYWIDE HOME LOANS TR		2.87		08/25/33		28,496		21,627		21,179
126694MS4	COUNTRYWIDE HOME LOANS		5.50		11/25/35		4,870,911		4,171,572		4,148,604
22541QUJ9	CS FIRST BOSTON MORTGAGE SECUR		2.25		10/25/33		159,734		82,039		135,796
22942KCD0	CSMC		6.00		08/25/36		13,734,821		8,303,568		8,946,038
232434AE0	CWALT_06-OC8		0.54		11/25/36		23,197,028		3,838,727		2,330,605
23245GAD3	CWALT_06-OC9		0.54		12/25/46		5,671,062		1,129,130		575,102
23245QAA7	CWALT		0.47		03/20/47		12,137,047		5,717,112		5,370,825
23332QAC7	DSLA		0.48		11/19/37		1,512,054		1,071,232		859,330
25151AAG6	DBALT		0.57		08/25/36		27,917,902		5,145,231		5,108,138
32052DAG6	FHAMS_06-FA8		6.00		02/25/37		5,981,870		4,412,127		3,924,824
40431HAJ6	HALO		0.59		12/25/36		4,984,941		1,193,355		1,241,898
41161VAC4	HVMLT		0.48		09/19/36		4,948,417		2,849,933		2,741,918
41162DAF6	HVMLT_06-12		0.47		12/19/36		6,636,232		3,719,788		3,815,833
45660NQ24	INDX		2.63		08/25/34		398,926		236,956		266,002
456687AC6	INDX_07-FL4		0.47		07/25/37		3,027,597		2,236,794		1,901,785
45668WAC1	INX		0.54		02/25/37		5,000,000		739,748		681,050
466306AA5	JPALT_08-R2		6.00		11/25/36		4,270,699		3,247,762		2,750,330
52520MBY8	LMT_05-2		1.04		12/25/35		3,790,945		2,307,717		2,062,956

	Allied World Assurance Company Holdings, AG
	Securities Listing as at December 31, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
525221HA8	LXS		0.55		02/25/46		4,118,533		1,793,566		2,127,807
52524GAA0	LXS_07-7N		0.51		06/25/47		10,620,585		6,288,921		5,468,539
52524HAJ9	LXS		0.96		03/25/47		2,462,491		1,432,137		1,358,334
52524PAG7	LXS_07-16N		0.45		05/25/37		9,816,503		7,012,833		5,378,462
52524VAQ2	LXS_07-15N		1.19		08/25/47		7,327,589		3,935,297		4,004,381
55027WAA0	LUM_07-2		0.52		05/25/37		4,408,986		2,502,909		2,040,170
55027XAA8	LUM_06-5		0.48		07/25/36		6,695,268		3,279,894		3,102,387
57643LLC8	MABS		5.65		11/25/35		10,000,000		4,546,555		5,329,000
59024KAX1	MLA_07-AF1		4.69		06/25/37		3,781,463		2,078,987		1,826,674
61748HJV4	MORGAN STANLEY MTG LOAN TRUST		5.00		08/25/35		785,777		776,984		760,334
61748HVE8	MORGAN STANLEY MTG LOAN TRUST		5.25		02/25/21		1,105,426		1,044,900		1,027,184
74923LAB8	RALI		0.48		05/25/47		5,045,597		2,839,252		2,710,701
74958XAB0	RFMSI		5.19		04/25/37		5,064,196		3,375,901		3,051,786
751153AA5	RALI_06-Q010		0.45		01/25/37		3,883,146		2,306,825		2,065,406
76110H2P3	RES ASSET SEC		2.87		03/25/35		329,421		200,795		146,194
761118FG8	RALI		3.18		08/25/35		3,725,084		2,188,104		2,105,343
761118QM3	RALI		1.20		01/25/46		4,101,543		2,224,739		2,626,233
863579J90	SARM		2.47		12/25/35		9,541,619		3,328,216		3,239,189
86359A5B5	SASC		2.47		11/25/33		370,080		273,640		324,234
86359AH71	SASC		2.45		07/25/33		562,146		435,642		461,477
86359BGD7	STRUCTURED ASSET SEC CORP		2.54		02/25/34		31,913		26,170		25,164
86359DUR6	LXS_05-5N		0.59		11/25/35		1,022,523		834,109		677,773
86359LQM4	SAMI_06-AR1		2.35		03/25/46		3,827,885		1,977,684		2,172,171
86361HAA2	SAMI_06-AR7		0.50		08/25/36		9,322,663		5,695,909		4,552,452
86361WAA9	SAMI_06-AR8		0.49		03/25/36		1,527,191		1,039,392		757,242
92922F7P7	WASHINGTON MUTUAL		0.56		12/25/45		7,838,398		4,666,775		5,584,858
92922FJ25	WASHINGTON MUTUAL		0.52		04/25/45		1,642,827		1,328,742		1,191,217
92922FR67	WASHINGTON MUTUAL		0.56		07/25/45		533,959		428,646		391,392
92922FR75	WASHINGTON MUTUAL		0.58		07/25/45		5,368,147		4,120,004		3,836,078
92925DAB6	WAMU		1.01		12/25/46		3,479,574		1,669,203		2,049,365
92927BAA0	WAMU_07-OA6		1.01		07/25/47		11,625,510		6,074,484		6,517,261
93363RAA4	EAST PACES FERRY LLC		1.08		10/25/46		8,205,372		4,363,264		4,125,169
9393362N2	WMMS		6.00		03/25/35		3,632,967		3,003,553		2,977,762
93936RAA2	WAL		1.04		05/25/47		8,288,737		4,112,339		3,818,621
94981QAA6	WFMBS		2.74		10/25/35		495,058		414,924		493,153
							380,846,968		191,305,761		182,481,302
CMBS
055236AA1	BAMLL_11-07C1		5.38		11/15/16		6,300,000		6,740,650		6,826,239
055360AC5	BC_10-1		4.23		02/22/41		3,000,000		3,029,319		3,016,590
05950EAE8	BACM		5.92		05/10/45		8,615,000		9,334,528		9,643,631
059512AB9	BACM_07-3		5.84		06/10/49		560,518		574,664		566,140
059512AQ6	BANC OF AMERICA COMMERCIAL MOR		0.47		06/10/49		560,518		549,017		553,242
05956VAC8	BAMLL_11-STRP		2.15		08/17/38		8,800,000		8,762,245		8,622,064
07383FXJ2	BEAR STEARNS COMMERCIAL MORTGA		5.19		05/11/39		4,000,000		4,050,517		4,188,440
07383FXN3	BSCMS		4.68		08/13/39		4,000,000		4,008,429		4,159,440
07387BCH4	BSCMS		5.13		10/12/42		1,991,553		1,993,893		1,990,776
07387BEB5	BSCMS		5.41		12/11/40		2,500,000		2,720,672		2,751,950
07388LAE0	BEAR STEARNS		5.54		09/11/41		7,500,000		8,002,274		8,349,825
07388NAE6	BEAR STEARNS COMMERCIAL MORTGA		5.54		10/12/41		9,020,000		9,883,159		10,126,483
07388PAE1	BSCMS		5.20		12/11/38		19,480,000		20,890,461		21,377,742
12513YAC4	CD		5.21		12/11/49		5,296,590		5,386,036		5,363,168
12527EAB4	CFCRE_11-C1		3.76		04/15/44		3,000,000		3,038,583		3,123,510
12622DAA2	COMM_10-C1		3.16		07/10/46		9,768,916		10,022,609		10,021,540
12622QAA3	COMM_11-THL		3.38		06/09/28		7,800,000		7,765,357		7,907,094
17310MAE0	CITIGROUP		5.43		10/15/49		2,026,000		2,166,283		2,250,339
17310MBQ2	CGCMT		5.50		10/15/49		437,340		407,928		414,061
17313KAD3	CGCMT		6.07		12/10/49		6,150,000		6,403,721		6,402,765
20046GAC2	COMM_06-FL12		0.38		12/15/20		1,407,152		1,399,700		1,364,938
20047QAE5	COMM		5.94		06/10/46		4,000,000		4,355,893		4,417,000

	Allied World Assurance Company Holdings, AG
	Securities Listing as at December 31, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
22545BAA9	CSMC		5.25		03/15/39		50,415		50,406		50,389
22545RAB2	CSMC		0.45		10/15/21		2,970,600		2,951,913		2,738,118
23305XAB7	DBUBS_11-LC2A		3.39		07/24/44		8,500,000		8,541,649		8,792,995
36158YFT1	GECCMC_02-2		5.35		08/11/36		22,441,476		22,669,928		22,676,438
361849YU0	GMACC		5.64		05/10/40		1,550,000		1,624,994		1,634,134
361849ZS4	GMACC		4.65		04/10/40		30,978		31,095		31,270
361849ZT2	GMACC		5.02		04/10/40		4,000,000		4,044,263		4,207,160
36228CVQ3	GSMS		4.61		07/10/39		500,000		501,456		501,885
36228CZW6	GSMS		1.53		03/06/20		5,350,000		5,326,486		5,256,375
36249KAC4	GSMS_10-C1		4.59		08/10/43		6,000,000		6,440,945		6,570,000
36828QKN5	GECMC		4.35		06/10/48		635,682		635,640		635,116
38376GDL1	GOV NATL MTGE ASSOC		3.10		12/16/50		10,644,013		10,624,653		11,043,227
38376GXU9	GNMA		3.71		12/16/50		2,500,000		2,564,813		2,673,850
38376GZ29	GNMA		2.16		11/16/36		5,151,400		5,201,788		5,238,510
396789JS9	GCCFC		4.57		08/10/42		500,000		503,708		505,525
46625YSF1	JPMCC_05-LDP3		4.96		08/15/42		3,911,664		4,009,372		4,010,786
46629GAE8	JPMCC		5.55		05/12/45		13,500,000		14,652,349		14,817,735
46629PAM0	JPMCC		5.30		05/15/47		1,944,819		1,969,121		1,958,783
46630EAC4	JPMCC		5.43		12/12/43		7,334,510		7,888,894		7,867,949
50179MAE1	LBUBS		5.37		09/15/39		1,500,000		1,622,147		1,662,690
52108HMU5	LBUBS COMM MTG TR		4.85		09/15/31		28,000,000		28,398,040		28,439,320
52108HRB2	LBUBS		3.85		05/15/27		291,215		293,923		296,089
52108MAF0	LBUBS		5.20		11/15/30		1,450,000		1,514,988		1,592,419
617458AC8	MORGAN STANLEY CAPITAL		3.88		09/15/47		3,500,000		3,527,949		3,677,905
61745M5G4	MSC		4.89		06/12/47		500,000		520,219		545,220
61745ML43	MSC		5.27		06/13/41		4,000,000		4,047,640		4,301,640
61750CAF4	MSC_06-HQ9		5.73		07/12/44		2,550,000		2,789,645		2,821,779
61750HAE6	MSC		5.33		11/12/41		4,250,000		4,384,215		4,640,745
61750WAX1	MSC		5.33		12/15/43		1,000,000		1,087,985		1,117,750
61758FAA0	MSRR 09 GG10 A4B		5.79		08/12/45		5,000,000		5,409,723		5,605,700
62474NAA4	MSC_05-RR6		0.51		05/24/43		603,734		601,734		531,286
62888XAB0	NCUA_10-C1		2.90		10/29/20		250,000		249,493		263,953
62888XAC8	NCUA_10-C1		2.65		10/29/20		10,160,243		10,144,117		10,618,851
90348HAA2	B NATIONALE CDA		1.18		07/15/24		664,666		661,682		627,743
92935VAC2	WFRBS_11-C3		3.24		03/15/44		7,000,000		7,061,299		7,200,270
929766UK7	WBCMT_04-C14		5.09		08/15/41		8,800,000		9,451,406		9,419,344
929766X24	WBCMT_05-C19		4.66		05/15/44		4,200,000		4,363,406		4,247,712
92976VAF5	WBCMT		5.74		05/15/43		6,000,000		6,561,768		6,657,060
92977RAD8	WACHOVIA BANK COMMERCIAL MORTG		6.01		06/15/45		6,000,000		6,521,435		6,756,540
92978YAB6	WBCMT		5.74		06/15/49		5,567,191		5,764,471		5,699,356
							315,016,191		326,696,692		331,370,595
Corporate Securities - Financials
00084DAB6	ABN AMRO BANK NV		2.20		01/30/14		4,500,000		4,500,000		4,388,985
00448MAA9	ACHMEA HYPOTHEEKBANK N.V. - LT		3.20		11/03/14		35,216,000		35,243,233		36,529,555
00485CAK3	ACOSTA		0.00		03/01/18		848,747		819,415		827,528
02005NAB6	ALLY FINANCIAL INC		8.30		02/12/15		3,375,000		3,690,698		3,564,844
02005NAF7	ALLY FINANCIAL INC		4.50		02/11/14		750,000		730,922		721,875
02503NAE7	AMERICAN CAP STRAT LTD.		0.00		12/31/13		18,816		18,816		18,816
02580ECC5	AMERICAN EXPRESS BANK FSB		6.00		09/13/17		3,000,000		3,297,030		3,394,373
025816BB4	AMERICAN EXPRESS COMPANY		8.13		05/20/19		4,300,000		5,259,484		5,512,069
0258M0DA4	AMERICAN EXPRESS CREDIT CO		2.75		09/15/15		15,000,000		15,031,805		15,110,748
0258M0DC0	AMERICAN EXPRESS CREDIT CO		2.80		09/19/16		1,000,000		1,016,067		1,000,443
05252ABH3	ANZ MELBOURNE		1.32		01/10/14		2,675,000		2,675,000		2,662,642
05531FAG8	BB&T CORPORATION		3.20		03/15/16		6,950,000		7,008,010		7,216,391
05533UAA6	BBVA BANCOMER SA DE CV		4.50		03/10/16		2,500,000		2,484,755		2,450,000
05565AAA1	BNP PARIBAS		5.19		06/29/49		3,300,000		3,240,777		2,145,000
05567LU54	BNP PARIBAS		3.60		02/23/16		2,500,000		2,497,813		2,348,962
05571AAB1	GROUPE BPCE		2.38		10/04/13		5,310,000		5,332,678		5,143,157
05572FAA1	BNP PARIBAS COVERED BONDS SA		2.20		11/02/15		10,400,000		10,396,931		9,970,896

	Allied World Assurance Company Holdings, AG
	Securities Listing as at December 31, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
05947KAK6	BANCO BRADESCO S.A.		2.56		05/16/14		700,000		700,000		687,071
06051GDY2	BANK OF AMERICA		7.38		05/15/14		8,150,000		8,704,370		8,364,301
06051GEA3	BANK OF AMERICA		6.50		08/01/16		19,000,000		20,869,069		18,895,410
06051GEB1	BANK OF AMERICA		4.50		04/01/15		3,000,000		3,031,146		2,869,554
06051GED7	BANK OF AMERICA		3.70		09/01/15		12,100,000		12,175,092		11,180,574
06051GEL9	BANK OF AMERICA		2.13		07/11/14		1,000,000		999,984		899,550
063679JJ4	BANK OF MONTREAL		2.63		01/25/16		9,600,000		9,594,866		9,943,680
064149B97	BANK OF NOVA SCOTIA		2.38		12/17/13		5,000,000		4,990,020		5,113,860
064149C39	BANK OF NOVA SCOTIA		1.45		07/26/13		8,400,000		8,393,789		8,456,363
064255AB8	BANK OF TOKYO-MITSUBISHI UFJ L		3.85		01/22/15		8,000,000		7,997,921		8,451,674
06675EAA8	BANQUE PSA FINANCE		3.38		04/04/14		850,000		849,340		807,558
06739FGP0	BARCLAYS BANK PLC		2.50		01/23/13		5,000,000		4,970,697		4,979,380
06739GAE9	BARCLAYS BANK PLC		6.05		12/04/17		8,500,000		8,615,919		7,714,542
06739GBB4	BARCLAYS BANK PLC		3.90		04/07/15		3,250,000		3,360,562		3,255,846
07385TAJ5	BEAR STEARNS CO INC		5.70		11/15/14		7,225,000		7,877,281		7,838,318
073902PR3	BEAR STEARNS CO INC		6.40		10/02/17		14,600,000		16,582,506		16,194,275
073902RU4	BEAR STEARNS CO INC		7.25		02/01/18		11,000,000		12,762,939		12,865,369
10778XAA4	BRFKREDIT AS		2.05		04/15/13		29,700,000		29,685,743		29,871,964
125577BA3	CIT GROUP INC		5.25		04/01/14		4,300,000		4,343,832		4,289,250
125581FX1	CIT GROUP INC		7.00		05/01/17		750,000		731,031		751,875
125581GA0	CIT GROUP INC		7.00		05/02/17		1,040,000		1,037,902		1,040,000
12622GAD9	CNO FINANCIAL TL B L		0.00		09/30/16		473,797		473,760		472,021
12800UAK6	CAISSE CENTRALE		2.55		03/24/16		2,050,000		2,042,702		2,108,179
136069DM0	CANADIAN IMPERIAL BK COMRC		2.60		07/02/15		10,500,000		10,588,478		10,870,440
136069EC1	CANADIAN IMPERIAL BK COMRC		0.90		09/19/14		5,000,000		4,994,379		4,952,500
136069EH0	CANADIAN IMPERIAL BK COMRC		1.50		12/12/14		23,200,000		23,200,000		23,261,016
140420MV9	CAPITAL ONE BANK		8.80		07/15/19		9,000,000		11,139,360		10,348,875
14912L4Q1	CATERPILLAR FINL SERV		1.55		12/20/13		4,000,000		3,997,065		4,050,909
172967EU1	CITIGROUP INC		6.50		08/19/13		4,000,000		4,108,497		4,146,937
172967EY3	CITIGROUP INC		6.38		08/12/14		17,800,000		18,370,270		18,608,070
172967EZ0	CITIGROUP INC		5.50		10/15/14		19,150,000		20,363,797		19,639,338
172967FD8	CITIGROUP INC		4.75		05/19/15		750,000		769,128		756,037
172967FE6	CITIGROUP INC		6.00		12/13/13		2,000,000		2,020,757		2,064,926
173094AA1	CITIGROUP INC		8.30		12/21/77		4,463,000		4,635,672		4,485,315
17313YAL5	CITIGROUP FUNDING INC - GTD		1.88		10/22/12		27,000,000		27,010,946		27,350,418
20272BAF1	COMMONWEALTH BANK AUSTRALIA, G		3.63		06/25/14		40,000,000		40,350,527		42,488,397
20272BAK0	COMMONWEALTH BANK OF AUSTRALIA		2.90		09/17/14		3,500,000		3,535,154		3,661,000
204279AA1	CIE FIN FONC		2.13		04/22/13		4,700,000		4,733,099		4,651,449
22546QAA5	CREDIT SUISSE GROUP		5.50		05/01/14		3,000,000		3,169,624		3,105,098
22546QAE7	CREDIT SUISSE FIRST BOSTON		3.50		03/23/15		11,000,000		11,368,969		10,870,788
2254C0TC1	CREDIT SUISSE NEW YORK NY		5.00		05/15/13		4,500,000		4,654,629		4,610,995
226566AK3	CRICKET COMMUNICATIONS INC.		7.75		05/15/16		500,000		501,936		518,750
24422ERD3	JOHN DEERE CAPITAL CORPORATION		0.55		07/15/13		3,100,000		3,100,975		3,105,301
24712GAB9	INTERNATIONAL LEASE FINANCE CO		0.00		03/17/16		990,000		1,000,334		991,653
2515A0Q30	DEUTSCHE BK LDN		3.88		08/18/14		3,750,000		3,756,436		3,835,954
2515A0U76	DEUTSCHE BK LDN		3.45		03/30/15		1,750,000		1,805,744		1,777,428
25214GAA1	DEXIA CREDIT LOCAL/NEW YORK		2.00		03/05/13		22,000,000		22,152,581		21,156,740
254709AE8	DISCOVER FINANCL		10.25		07/15/19		5,200,000		6,811,646		6,253,303
25600WAA8	DNB NOR BLGKRDIT		2.10		10/14/15		1,900,000		1,887,758		1,882,368
25600WAB6	DNB NOR BLGKRDIT		2.90		03/29/17		15,800,000		15,783,261		16,028,309
26441YAS6	DUKE REALTY LP		7.38		02/15/15		3,741,000		4,160,056		4,149,720
26483EAE0	DUN & BRADSTREET CORPORATION T		2.88		11/15/15		1,500,000		1,495,809		1,540,775
29084UAC5	EMDEON INC		0.00		11/02/18		1,340,000		1,326,605		1,349,380
29444RAB9	EQUIPOWER RESOURCES HOLDINGS L		0.00		01/26/18		750,000		738,534		705,000
302154AU3	EXPORT-IMPORT BANK OF KOREA		5.88		01/14/15		10,600,000		11,474,801		11,364,260
302508BA3	FMR CORP		4.75		03/01/13		2,500,000		2,562,491		2,590,714
313551AN3	FEDERAL MOGUL TL B		0.00		12/29/14		629,442		585,888		580,855
31737UAH1	FINANCE FOR DANISH INDUSTRY IN		2.00		06/12/13		4,900,000		4,978,435		4,949,539
354613AE1	FRANKLIN RESOURCES INC.		2.00		05/20/13		3,975,000		3,975,377		4,021,500
36962G3T9	GE CAPITAL CORP		4.80		05/01/13		6,500,000		6,735,427		6,804,375

	Allied World Assurance Company Holdings, AG
	Securities Listing as at December 31, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
36962G4C5	GE CAPITAL CORP		5.90		05/13/14		700,000		757,278		764,281
36962G4G6	GE CAPITAL CORP		3.75		11/14/14		850,000		847,989		893,412
36962G4H4	GENERAL ELEC CAP CO		2.80		01/08/13		2,000,000		1,999,099		2,037,518
36962G4L5	GE CAPITAL CORP		3.50		06/29/15		8,000,000		8,210,307		8,364,619
36962GK86	GE CAPITAL CORP		4.75		09/15/14		4,000,000		4,203,697		4,297,859
36962GU51	GE CAPITAL CORP		0.78		01/08/16		8,500,000		8,087,906		7,871,935
38141EA33	GOLDMAN SACHS GROUP INC		6.00		05/01/14		5,350,000		5,613,902		5,530,072
38141EA74	GOLDMAN SACHS GROUP INC		3.70		08/01/15		6,650,000		6,674,857		6,467,114
38141GDB7	GOLDMAN SACHS GROUP INC		5.25		04/01/13		1,500,000		1,519,910		1,518,034
38141GEG5	GOLDMAN SACHS GROUP INC		1.02		03/22/16		19,300,000		18,233,654		16,658,988
40411EAB4	BANK OF SCOTLAND PLC		5.25		02/21/17		6,405,000		6,382,015		6,609,768
40414LAB5	HEALTH CARE PROPERTY INVESTORS		2.70		02/01/14		8,875,000		8,868,945		8,854,951
4042Q1AE7	HSBC BANK USA		4.88		08/24/20		16,250,000		15,749,105		15,213,092
41165QAB3	HARBOURVEST PARTNERS LLC		0.00		12/19/16		671,351		673,002		669,257
44328MAB0	HSBC BANK PLC		3.50		06/28/15		8,450,000		8,445,039		8,536,064
44328MAH7	HSBC BANK PLC		1.20		01/17/14		7,500,000		7,500,000		7,395,600
44328MAJ3	HSBC BANK PLC		2.00		01/19/14		2,000,000		1,998,759		1,969,826
44328MAL8	HSBC BANK PLC		3.10		05/24/16		8,000,000		8,067,535		7,970,721
44914PAR8	HYPOTHEKENBANK IN ESSEN AG		5.00		01/20/12		2,500,000		2,501,884		2,503,563
449786AH5	ING BANK NV		2.50		01/14/16		8,000,000		7,872,904		7,955,200
449786AK8	ING BANK NV		1.60		03/15/13		8,000,000		8,000,000		7,813,680
449786AM4	ING BANK NV		2.38		06/09/14		5,925,000		5,917,732		5,681,797
451102AD9	ICAHN ENTERPRISES LP / ICAHN E		7.75		01/15/16		850,000		864,061		881,875
45112EAA7	ICICI BANK SG		2.26		02/24/14		2,650,000		2,650,000		2,516,255
45112EAB5	ICICI BANK LTD (DUBAI BRANCH)		4.75		11/25/16		1,500,000		1,495,464		1,404,450
45324QAB2	ING BANK NV - (LT) GTD		2.63		02/09/12		26,700,000		26,730,629		26,749,038
459745GJ8	INTERNATIONAL LEASE FINANCE CO		5.75		05/15/16		3,000,000		3,000,000		2,782,620
46521NAV4	ISTAR FINANCIAL INC.		0.00		06/28/13		1,097,499		1,080,926		1,088,719
46623EJD2	JPMORGAN CHASE & CO		1.65		09/30/13		3,000,000		2,999,789		3,010,471
46623EJF7	JPMORGAN CHASE & CO		1.22		01/24/14		5,000,000		5,000,000		4,924,300
46625HHN3	JPMORGAN CHASE & CO		4.65		06/01/14		3,000,000		3,107,168		3,160,278
46625HHP8	JPMORGAN CHASE & CO		3.70		01/20/15		3,000,000		3,004,725		3,092,705
46625HHR4	JPMORGAN CHASE & CO		3.40		06/24/15		10,000,000		10,292,593		10,201,164
46625HJA9	JPMORGAN CHASE & CO		3.15		07/05/16		6,500,000		6,466,470		6,489,307
472319AK8	JEFFERIES GROUP INC.		5.13		04/13/18		3,475,000		3,463,961		3,075,375
53117CAG7	LIBERTY PROPERTY TR		6.38		08/15/12		2,500,000		2,551,516		2,552,461
539473AG3	LLOYDS TSB BANK PLC		4.88		01/21/16		8,050,000		8,108,016		7,857,832
539473AK4	LLOYDS TSB BANK PLC		2.77		01/24/14		2,000,000		2,000,000		1,891,940
53947MAA4	LLOYDS TSB BANK PLC		4.38		01/12/15		5,000,000		5,090,877		4,819,315
53947MAB2	LLOYDS TSB BANK PLC		5.80		01/13/20		11,000,000		10,978,347		10,442,223
55607EAL4	MACQUARIE BANK LTD - GTD		3.30		07/17/14		2,000,000		2,075,559		2,105,320
5752449C4	BARCLAYS BANK PLC		6.63		03/30/22		5,000,000		7,128,042		5,496,500
57629WBM1	MASSMUTUAL GLOBAL FUNDING II		2.30		09/28/15		4,000,000		3,946,567		3,980,110
59018YJ69	MERRILL LYNCH & CO INC		6.40		08/28/17		8,000,000		8,625,859		7,709,638
59018YM40	MERRILL LYNCH & CO INC		5.45		02/05/13		5,150,000		5,314,016		5,174,309
617446V71	MORGAN STANLEY		6.25		08/28/17		10,500,000		10,841,300		10,212,431
61746SBR9	MORGAN STANLEY		5.38		10/15/15		20,000,000		20,510,595		19,455,324
61747WAD1	MORGAN STANLEY		2.88		01/24/14		2,500,000		2,497,471		2,387,025
61747YCE3	MORGAN STANLEY		6.00		04/28/15		5,000,000		5,345,519		4,978,811
61747YCF0	MORGAN STANLEY		6.00		05/13/14		5,400,000		5,607,640		5,439,491
61747YCK9	MORGAN STANLEY		4.20		11/20/14		2,150,000		2,134,625		2,061,769
61747YDD4	MORGAN STANLEY		3.80		04/29/16		4,000,000		3,746,719		3,677,347
63307EAA5	NATIONAL BK OF CANADA		1.65		01/30/14		2,500,000		2,499,546		2,525,750
637432ML6	NATIONAL RURAL UTILITIES		1.90		11/01/15		4,000,000		3,996,901		4,023,690
637432MM4	NATIONAL RURAL UTILITIES		1.13		11/01/13		1,350,000		1,349,710		1,350,691
638612AK7	NATIONWIDE FINANCIAL SERVICES		5.38		03/25/21		5,925,000		5,892,677		5,861,425
63866EBL3	NATIONWIDE LIFE GLOBAL FUNDING		5.45		10/02/12		600,000		601,118		613,512
65557CAA1	NORDEA BANK AB		3.70		11/13/14		22,250,000		22,230,791		22,332,421
693476BE2	PNC FUNDING CORP		5.40		06/10/14		2,000,000		2,113,457		2,178,150
693476BH5	PNC FUNDING CORP		3.63		02/08/15		2,000,000		2,099,765		2,088,708

	Allied World Assurance Company Holdings, AG
	Securities Listing as at December 31, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
72347NAE0	PINNACLE FOODS FINANCE		0.00		04/02/14		859,129		862,439		859,129
74157UAG4	PRIMARIS RETAIL REAL ESTATE IN		5.40		11/30/18		2,250,000		2,295,333		2,320,710
74733WAB4	QATAR DIAR FIN		5.00		07/21/20		3,000,000		3,148,594		3,198,604
749770AQ6	RABOBANK NEDERLAND NV		11.00		12/31/49		6,000,000		7,650,172		6,960,000
75605NAC4	REALOGY		0.00		10/10/16		47,382		42,880		42,116
75605NAJ9	REALOGY		0.00		10/10/16		1,052,499		930,929		935,525
78010XAF8	ROYAL BANK OF SCOTLAND PLC THE		2.92		08/23/13		300,000		304,353		288,411
78011CAG1	ROYAL BK OF STLAND GRP PLC - (		1.50		03/30/12		5,000,000		4,999,753		5,007,613
78011HT39	ROYAL BANK OF SCOTLAND		1.78		10/15/12		20,000,000		20,000,000		19,996,800
78403DAB6	SBA TOWER TRUST		5.10		04/15/42		5,300,000		5,662,826		5,620,184
78442FAQ1	SLM CORP		5.00		04/15/15		1,400,000		1,422,745		1,365,000
78442FCJ5	SLM CORP		5.38		05/15/14		4,000,000		4,159,220		3,960,000
78442FEK0	SLM CORP		6.25		01/25/16		2,600,000		2,666,016		2,509,000
828807BM8	SIMON PROPERTY GROUP L.P.		5.10		06/15/15		4,000,000		4,264,542		4,371,436
828807CB1	SIMON PROPERTY GROUP L.P.		6.75		05/15/14		12,675,000		12,995,314		14,200,300
84603MXU5	SOVEREIGN BANK		8.75		05/30/18		2,475,000		2,864,177		2,692,360
84650WAA4	SPAREBNK 1 BOLIG		1.25		10/25/14		40,980,000		40,613,067		40,656,667
84650WAB2	SPAREBNK 1 BOLIG		2.63		05/27/17		11,000,000		10,995,608		11,039,710
867914BE2	SUNTRUST BANKS INC		3.50		01/20/17		5,775,000		5,767,891		5,751,364
87020LAA4	SWEDBANK HYPOTEK AB		2.95		03/28/16		8,100,000		8,094,239		8,275,608
87020LAB2	SPINTAB AB SWEDMORTGAGE		1.02		03/28/14		6,700,000		6,700,000		6,585,631
89334GAG9	TRANSUNION CORP		0.00		02/10/18		1,820,415		1,798,129		1,812,077
90261XEM0	UBS AG		5.88		12/20/17		5,000,000		5,409,769		5,199,943
90261XGD8	UBS AG STAMFORD CT		4.88		08/04/20		6,500,000		6,877,250		6,366,416
90261XGX4	UBS AG		2.25		01/28/14		3,600,000		3,598,919		3,520,384
90345AAC6	US CENTRAL CREDIT UNION - (LT)		1.90		10/19/12		15,500,000		15,497,308		15,703,769
90520EAC5	UNION BK OF CA NA		3.00		06/06/16		7,800,000		7,781,398		7,851,717
91159HGY0	US BANCORP		1.38		09/13/13		3,000,000		2,997,790		3,011,492
92928B9R4	WAHA AEROSPACE BV		3.92		07/28/20		4,680,000		4,785,093		4,820,400
92933DAA8	WEA FINANCE LLC		7.50		06/02/14		1,580,000		1,725,936		1,728,725
92976WBJ4	WACHOVIA CORPORATION		5.50		05/01/13		5,000,000		5,135,571		5,269,994
929903DT6	WACHOVIA CORPORATION		5.75		06/15/17		21,125,000		21,655,814		23,589,497
949746PM7	WELLS FARGO & COMPANY		7.98		12/31/49		5,000,000		5,293,285		5,400,000
949746QU8	WELLS FARGO & COMPANY		3.68		06/15/16		5,975,000		6,236,930		6,246,550
94974BET3	WELLS FARGO & COMPANY		3.75		10/01/14		1,400,000		1,400,783		1,468,595
94974BEU0	WELLS FARGO & COMPANY		3.63		04/15/15		250,000		258,859		260,919
94980VAF5	WELLS FARGO BANK NA		0.67		05/16/16		12,000,000		11,415,398		10,548,600
96008YAB1	WESTFIELD CAPITAL CORP LTD		5.13		11/15/14		4,650,000		4,862,436		4,859,539
961214BH5	WESTPAC BANKING		4.20		02/27/15		5,000,000		4,996,933		5,203,801
99AA36805	VNGD HLTH HLD II		0.00		01/29/16		475,000		472,191		467,110
99AA50384	NUVEEN INVESTMENT INC		0.00		05/13/17		390,000		382,200		383,499
M8181FAB2	QATARI DIAR FINANCE QSC		5.00		07/21/20		3,100,000		3,239,625		3,301,500
N9636WAL1	WHITE NIGHTS FINANCE BV		10.50		03/08/14		3,500,000		3,979,428		3,920,000
Y4864WAG4	KOREA EXC BK		4.88		01/14/16		2,000,000		2,051,414		2,064,600
							1,165,254,076		1,191,738,840		1,179,390,717
Corporate Securities - Industrials
00164YAD9	AMC NETWORKS INC		0.00		12/31/18		992,506		987,981		975,763
00206RAM4	AT&T INC		5.60		05/15/18		6,950,000		7,975,538		8,111,955
00400YAF8	ACADEMY SPORTS & OUTDOORS INC		0.00		08/03/18		1,040,000		1,018,209		1,028,009
00846UAF8	AGILENT TECHNOLOGIES INC		2.50		07/15/13		7,000,000		6,993,200		7,079,713
01973JAC3	ALLISON TRANSMIS		0.00		08/07/14		2,575,082		2,479,402		2,504,628
02209SAD5	ALTRIA GROUP INC.		9.70		11/10/18		6,400,000		8,512,452		8,649,503
02364WAV7	AMERICA MOVIL SA		5.00		03/30/20		10,000,000		10,860,168		11,124,300
02377VAA0	AMERICAN AIRLINES 2011-2 CLASS		8.63		04/15/23		100,000		99,758		103,500
02666QF32	AMERICAN HONDA FINANCE		2.38		03/18/13		2,150,000		2,149,647		2,184,346
02932JAE7	AMER ROCK SLT CO		0.00		04/25/17		835,000		828,441		823,519
03073JAL8	AMERISTAR CASINOS, INC.		0.00		04/16/18		349,121		338,399		347,595
032511BC0	ANADARKO PETROLEUM CO		8.70		03/15/19		8,000,000		10,111,625		10,203,967
034863AA8	ANGLO AMERICAN CAPITAL PLC		9.38		04/08/14		11,280,000		12,464,133		12,882,351

	Allied World Assurance Company Holdings, AG
	Securities Listing as at December 31, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
034863AC4	ANGLO AMERICAN CAPITAL PLC		2.15		09/27/13		1,800,000		1,799,113		1,790,938
035229CE1	ANHEUSER-BUSCH		7.50		03/15/12		1,600,000		1,598,334		1,621,309
03523TAL2	ANHEUSER-BUSCH INBEV WORLDWIDE		3.00		10/15/12		2,500,000		2,521,301		2,542,883
03523TAM0	ANHEUSER-BUSCH INBEV WORLDWIDE		4.13		01/15/15		10,000,000		10,236,294		10,764,720
03523TBC1	ANHEUSER-BUSCH INBEV WORLDWIDE		0.97		01/27/14		1,500,000		1,500,000		1,502,790
03746AAC4	APACHE FIN CANADA CORP		4.38		05/15/15		5,770,000		6,346,657		6,335,537
038521AG5	ARAMARK SERVICES INC		3.93		02/01/15		65,000		62,668		62,725
04247QAE7	ARMSTRONG WORLD INDUSTRIES INC		0.00		03/10/18		497,494		487,890		491,807
04826NAH6	ATLANTIC BROADBAND FINANCE LLC		0.00		03/08/16		335,242		324,874		327,769
05329WAJ1	AUTONATION INC		6.75		04/15/18		310,000		317,539		323,950
05349UAJ1	AVAYA INC.		0.00		10/24/14		324,148		295,281		309,156
05349UAP7	AVAYA INC.		0.00		10/26/17		488,715		446,880		443,714
053611AC3	AVERY DENNISON CORP		4.88		01/15/13		1,500,000		1,480,222		1,555,998
05377JAH5	AVIS BUDGET		0.00		09/22/18		500,000		498,129		502,500
05454DAH4	AXCAN INTER HLDG		0.00		02/10/17		1,061,566		988,445		1,013,795
05530QAC4	BAT INTERNATIONAL FINANCE PLC		8.13		11/15/13		5,255,000		5,849,212		5,895,580
05531LAB6	BRESNAN HLDG		0.00		12/14/17		1,793,586		1,767,535		1,769,678
055451AH1	BHP BILLITON FINANCE (USA) LTD		6.50		04/01/19		6,000,000		7,261,385		7,476,789
05745PAB9	BAKERCORP		0.00		06/01/18		513,750		510,574		507,842
067901AB4	BARRICK GOLD CORP		6.95		04/01/19		1,700,000		2,112,709		2,088,014
067901AF5	BARRICK GOLD CORP		2.90		05/30/16		4,000,000		3,996,962		4,110,425
06846NAA2	BILL BARRETT		5.00		03/15/28		1,850,000		1,842,762		1,855,661
07014QAD3	BASS PRO GROUP LLC		0.00		06/10/17		219,449		216,681		216,523
071813AZ2	BAXTER INTERNATIONAL INC		4.00		03/01/14		6,400,000		6,438,534		6,794,558
075887BB4	BECTON DICKINSON AND COMPANY		1.75		11/08/16		6,000,000		6,001,753		6,002,908
086516AF8	BEST BUY CO., INC.		2.25		01/15/22		2,045,000		2,038,024		2,048,252
09061AAL8	BIOMET INC		0.00		03/25/15		763,008		732,018		742,788
09227CAF8	BLACKBOARD INC		0.00		10/04/18		525,000		485,674		496,456
097014AK0	BOEING CAPITAL CORPORATION		3.25		10/27/14		250,000		249,679		266,249
097023AY1	BOEING CO		3.50		02/15/15		1,250,000		1,247,694		1,342,242
10138MAH8	BOTTLING GROUP LLC		6.95		03/15/14		7,000,000		7,784,002		7,879,599
10330JAG3	BOYD GAMING CORPORATION		0.00		12/17/15		890,000		878,724		877,763
05565QBH0	BP CAPITAL MARKETS PLC		3.88		03/10/15		22,675,000		21,719,858		24,171,688
05565QBL1	BP CAPITAL MARKETS PLC		3.63		05/08/14		5,000,000		4,993,379		5,261,089
05565QBN7	BP CAPITAL MARKETS PLC		3.13		10/01/15		4,000,000		3,966,034		4,185,449
115637AK6	BROWN-FORMAN CORPORATION		2.50		01/15/16		7,000,000		6,964,001		7,192,963
120568AM2	BUNGE LIMITED FINANCE CORP		5.35		04/15/14		6,024,000		6,402,097		6,353,535
121575AD6	BURLINGTON COAT FACTORY WAREHO		0.00		02/23/17		370,000		358,936		362,463
12502CAS0	CCH II LLC/CCH II CAPITAL CORP		13.50		11/30/16		400,000		457,195		462,000
12513DAB2	CDW CORPORATION		0.00		10/10/14		550,000		511,459		531,608
12543KAE4	COMMUNITY HLTH SYST INC		0.00		01/25/17		1,245,587		1,124,778		1,202,129
125509BR9	CIGNA CORPORATION		2.75		11/15/16		3,775,000		3,772,094		3,785,306
12622JAB7	CPG INTERNATIONAL I INC		0.00		02/18/17		598,489		572,181		556,594
126650AV2	CVS CAREMARK CORP		4.88		09/15/14		2,000,000		2,072,863		2,188,784
126650BQ2	CVS PASS-THROUGH TRUST		6.94		01/10/30		2,009,551		2,192,838		2,204,979
14068PAB0	CAPSUGEL HEALTHCARE LTD		0.00		08/01/18		773,063		770,805		773,186
14886MAE1	CATALINA MARKETING CORPORATION		0.00		10/01/14		1,096,969		1,050,550		1,044,863
14912L4U2	CATERPILLAR FINL SERV		0.87		04/01/14		4,000,000		4,000,000		3,994,680
15677WAF6	CERIDIAN CORP		0.00		11/09/14		596,915		536,668		536,854
159864AB3	CHARLES RIVER LABS INTL INC.		2.25		06/15/13		6,975,000		6,870,971		6,792,374
161175AA2	CHARTER COMMUNICATIONS HOLDING		8.00		04/30/12		4,000,000		4,068,661		4,075,000
16117LAX7	CHARTER COMMUNICATIONS HOLDING		0.00		09/06/16		1,541,069		1,511,095		1,504,222
16388PAH5	CHEMTURA CORPORATION		0.00		08/29/16		875,000		877,344		877,188
17275RAL6	CISCO SYSTEMS INC		0.79		03/14/14		8,000,000		8,000,000		7,993,920
18451QAD0	CLEAR CHANNEL WORLDWIDE HOLDIN		9.25		12/15/17		550,000		573,029		594,000
191216AU4	COCA-COLA COMPANY THE		1.80		09/01/16		8,436,000		8,510,608		8,553,628
19259BAH6	COINMACH SERVICE CORP		0.00		11/14/14		1,047,273		932,629		939,927
20030NAE1	COMCAST CORPORATION		5.30		01/15/14		2,000,000		2,025,615		2,151,542
20030NAL5	COMCAST CORPORATION		5.90		03/15/16		7,500,000		7,804,199		8,579,563
20337EAF8	COMMSCOPE INC.		0.00		01/14/18		897,739		898,405		889,210

	Allied World Assurance Company Holdings, AG
	Securities Listing as at December 31, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
20825CAT1	CONOCOPHILLIPS		4.60		01/15/15		4,000,000		4,257,317		4,424,947
21079UAA3	CONTINENTAL AIRLINES		7.25		05/10/21		4,634,294		5,163,279		4,970,280
21079VAA1	CONTINENTAL AIRLINES INC.		4.75		01/12/21		2,400,000		2,400,000		2,442,000
21244NAB7	CONVATEC INC		0.00		12/22/16		598,489		578,872		591,385
22303QAK6	COVIDIEN INTERNATIONAL FINANCE		2.80		06/15/15		10,800,000		10,815,920		11,256,416
224044BF3	COX COMMUNICATIONS INC.		4.63		06/01/13		1,225,000		1,248,092		1,282,925
22818VAB3	CROWN AMERICAS LLC/CROWN AMERI		6.25		02/01/21		500,000		501,873		522,500
22822RAZ3	CROWN CASTLE TOWERS LLC		4.88		08/15/40		8,000,000		7,826,007		8,120,000
22942GAH2	CABLEVISION SYSTEMS CORPORATIO		0.00		03/29/16		398,942		390,963		392,212
23108KAB4	CUMULUS MED INC.		0.00		09/16/18		1,140,000		1,104,555		1,115,980
233835AW7	DAIMLERCHRYSLER NA HLDG		6.50		11/15/13		6,200,000		6,785,398		6,740,363
23918VAM6	DAVITA INC		0.00		10/20/16		1,182,015		1,182,645		1,181,424
244199BC8	DEERE & COMPANY		4.38		10/16/19		15,400,000		15,331,720		17,288,924
24521QAB8	DEL MONTE FOODS CO		0.00		03/08/18		1,987,382		1,848,416		1,883,044
24702RAK7	DELL INC		1.40		09/10/13		5,200,000		5,196,631		5,226,354
24702RAL5	DELL INC		2.30		09/10/15		4,650,000		4,649,199		4,734,402
247361ZH4	DELTA AIR LINES INC.		4.95		05/23/19		142,983		142,983		145,842
24736CAR5	DELTA AIR LINES INC.		0.00		04/20/17		595,535		570,325		561,291
24736TAA5	DELTA AIR LINES INC.		7.75		12/17/19		1,754,490		1,946,933		1,894,850
249030AB3	DENTSPLY INTL INC.		2.75		08/15/16		1,475,000		1,473,028		1,485,238
25156PAL7	DEUTSCHE TELEKOM INTL		6.75		08/20/18		3,800,000		4,534,558		4,519,641
25243YAL3	DIAGEO CAPITAL PLC		5.20		01/30/13		1,000,000		1,038,266		1,047,833
25244SAD3	DIAGEO FINANCE BV		5.50		04/01/13		4,500,000		4,699,381		4,756,858
25459HAV7	DIRECTV HOLDINGS LL/DIR TV FIN		3.13		02/15/16		12,125,000		12,118,951		12,353,334
25468PBX3	WALT DISNEY		6.38		03/01/12		2,000,000		2,016,800		2,018,360
25468PCM6	WALT DISNEY COMPANY THE		1.35		08/16/16		1,500,000		1,488,917		1,494,016
256604AR0	DOLE FOOD CO INC.		0.00		07/08/18		373,561		371,724		371,148
256604AS8	DOLE FOOD CO INC.		0.00		07/08/18		693,757		690,344		689,275
260543CA9	DOW CHEMICAL COMPANY THE		5.90		02/15/15		6,100,000		6,680,264		6,759,836
263534BS7	EI DUPONT DE NEMOURS & CO		5.00		01/15/13		768,000		793,636		802,561
263534CH0	EI DUPONT DE NEMOURS & CO		0.99		03/25/14		4,507,000		4,527,410		4,533,096
26551QAB6	DUNKIN BRANDS INC		0.00		11/23/17		841,152		814,055		826,516
26875PAJ0	EOG RESOURCES INC		1.18		02/03/14		5,065,000		5,080,303		5,079,537
26882PBD3	ERAC USA FINANCE COMPANY		5.80		10/15/12		2,122,000		2,182,907		2,195,336
27876GBF4	DISH DBS CORP		7.00		10/01/13		5,000,000		5,300,012		5,350,000
278865AK6	ECOLAB INC.		3.00		12/08/16		4,000,000		3,992,177		4,150,891
291011AW4	EMERSON ELECTRIC CO		5.38		10/15/17		5,000,000		5,826,978		5,891,201
291011AZ7	EMERSON ELECTRIC CO		4.13		04/15/15		1,250,000		1,366,752		1,363,760
29101QAD1	EMERGENCY MEDICAL SVCS CORP		0.00		05/25/18		1,001,225		967,998		972,860
29264FAG1	ENDO PHARMACEUTICALS HLDGS INC		7.00		07/15/19		1,000,000		1,000,000		1,062,500
313551AP8	FEDERAL MOGUL CORP		0.00		12/28/15		321,144		298,822		296,355
32007UAF6	FIRST DATA CORPORATION		0.00		09/24/14		1,390,000		1,253,750		1,258,826
32007UAG4	FIRST DATA CORPORATION		0.00		09/24/14		700,000		642,465		633,941
32007UAH2	FIRST DATA CORPORATION		0.00		09/24/14		685,000		617,813		620,357
32007UAL3	FIRST DATA CORPORATION		0.00		03/26/18		1,580,000		1,348,686		1,318,858
337738AK4	FISERV INC		3.13		06/15/16		6,025,000		6,021,759		6,134,467
345397VN0	FORD MOTOR CREDIT COMPANY		7.00		04/15/15		7,000,000		7,522,455		7,525,000
35168LAC1	AUTOPARTS HOLDINGS LTD		0.00		07/29/17		997,500		996,979		995,425
35168XAA9	FRAC TECH		7.63		11/15/18		500,000		519,394		523,750
35177PAS6	FRANCE TELECOM		4.38		07/08/14		400,000		429,085		422,602
35671DAS4	FREEPORT-MCMORAN COPPER & GOLD		8.38		04/01/17		7,750,000		8,193,032		8,205,313
35687KAF8	FREESCALE SEMICONDUCTOR INC.		0.00		12/01/16		500,000		475,000		477,250
368266AN2	GAZ CAPITAL FOR GAZPROM		5.09		11/29/15		2,750,000		2,750,000		2,782,175
369550AK4	GENERAL DYNAMICS CORPORATION		4.25		05/15/13		1,250,000		1,224,417		1,313,194
369604AY9	GENERAL ELEC CAP CO		5.00		02/01/13		500,000		514,951		521,511
37047QAH2	GNC CORPORATION		0.00		03/02/18		1,020,000		989,785		1,000,028
37373UAA2	GERDAU HOLDINGS INC		7.00		01/20/20		3,000,000		3,299,735		3,142,500
37373WAA8	METALURGICA GERDAU SA		5.75		01/30/21		3,300,000		3,393,764		3,246,279
377372AC1	GLAXOSK CAP INC		4.85		05/15/13		4,500,000		4,676,384		4,763,078
38238VAD7	GOODMAN GLOBAL INC		0.00		10/28/16		1,729,112		1,726,106		1,725,879

	Allied World Assurance Company Holdings, AG
	Securities Listing as at December 31, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
389376AM6	GRAY TELEVISION INC.		0.00		12/31/14		1,206,857		1,182,211		1,164,448
39843QAG6	GRIFOLS SA		0.00		06/01/17		1,115,697		1,107,669		1,112,037
404119BK4	HCA INC		7.25		09/15/20		7,000,000		7,541,638		7,385,000
404121AC9	HCA INC		6.50		02/15/20		500,000		485,356		517,500
404122AJ2	HCA INC		0.00		03/31/17		670,000		635,663		634,731
41283DAA1	HARLEY-DAVIDSON FUNDING CORPOR		5.25		12/15/12		2,500,000		2,533,316		2,582,619
413626AM4	HARRAHS ENTERTAINMENT INC		0.00		01/28/15		2,150,540		1,862,621		1,864,260
413626AR3	HARRAHS OPERATING COMPANY INC.		0.00		10/31/16		1,140,134		1,134,554		1,132,221
42804VAL5	HERTZ CORPORATION		0.00		03/11/18		97,195		95,273		95,267
428236AQ6	HEWLETT-PACKARD COMPANY		4.50		03/01/13		4,000,000		4,127,735		4,119,506
428236BJ1	HEWLETT-PACKARD COMPANY		0.92		05/30/14		2,125,000		2,133,855		2,054,556
428236BK8	HEWLETT-PACKARD COMPANY		1.55		05/30/14		1,250,000		1,249,707		1,229,206
428236BP7	HEWLETT-PACKARD COMPANY		3.00		09/15/16		5,950,000		5,937,827		5,952,608
436440AA9	HOLOGIC, INC.		2.00		12/15/37		8,900,000		8,381,595		8,488,375
44107TAE6	HOST MARRIOTT LP		2.63		04/15/27		4,650,000		4,599,472		4,654,650
44841AAA6	HUTCHISON WHAMPOA INTERNATIONA		4.63		09/11/15		6,100,000		6,507,977		6,463,230
45073CAF7	IASIS HLTHCARE CORP		0.00		05/03/18		273,059		257,212		262,991
451055AB3	ICONIX BRAND GROUP INC		1.88		06/30/12		1,410,000		1,404,897		1,392,869
451055AC1	ICONIX BRAND GROUP INC		2.50		06/01/16		1,200,000		1,173,052		1,133,472
452308AH2	ILLINOIS TOOL WORKS INC.		5.15		04/01/14		1,000,000		1,028,710		1,096,518
452327AC3	ILLUMINA INC		0.25		03/15/16		4,275,000		3,313,123		3,445,885
457985AH2	INTEGRA LIFESCIENCES HLDGS COR		2.38		06/01/12		4,525,000		4,499,475		4,462,311
458140AH3	INTEL CORPORATION		1.95		10/01/16		6,000,000		5,991,317		6,098,545
45840XAC0	INTERACTIVE DATA CORP		0.00		02/11/18		1,908,313		1,870,935		1,874,918
459284AA3	INTERNATIONAL CCE INC		2.13		09/15/15		3,000,000		2,991,715		3,041,310
46122YAG6	INVENTIV HEALTH INC		0.00		08/04/16		298,492		293,269		285,060
46122YAH4	INVENTIV HEALTH INC		0.00		07/07/18		1,572,080		1,526,650		1,501,337
46262FAH5	IPAYMENT INC.		0.00		05/08/17		500,000		498,088		491,875
46613BAB3	J CREW GROUP INC		0.00		03/07/18		504,248		456,967		472,551
470355AE8	JAMES RIVER COAL CO		3.13		03/15/18		5,070,000		4,373,617		2,926,658
470355AF5	JAMES RIVER COAL CO		4.50		12/01/15		3,115,000		2,877,999		2,421,913
471109AC2	JARDEN CORP		8.00		05/01/16		500,000		537,609		542,500
48203RAE4	JUNIPER NETWORKS, INC.		3.10		03/15/16		3,925,000		3,919,320		4,059,777
48562RAC3	KAR HOLDINGS		0.00		05/19/17		1,385,349		1,370,652		1,363,987
49460YAN5	KINETIC CONCEPTS INC.		0.00		10/18/18		925,000		919,692		932,400
496902AD9	KINROSS GOLD CORP		1.75		03/15/28		6,370,000		6,303,736		6,222,216
49918HAR1	KNOLOGY INC		0.00		08/18/17		599,748		590,693		583,855
50075NAX2	KRAFT FOODS INC.		6.75		02/19/14		9,680,000		10,485,852		10,794,578
502413AW7	L-3 COMMUNICATIONS HOLDINGS IN		3.00		08/01/35		2,100,000		2,010,597		2,010,750
51861JAR0	LAUREATE EDUCATION INC		0.00		06/15/18		2,332,871		2,152,878		2,134,577
52729KAB2	LEVEL 3 COMMS, INC.		0.00		03/13/14		1,350,000		1,289,494		1,287,144
52729KAD8	LEVEL 3 COMMS, INC.		0.00		09/01/18		1,530,000		1,478,662		1,505,903
52729KAE6	LEVEL 3 FINANCING INC		0.00		09/01/18		1,255,000		1,218,953		1,235,234
532716AT4	LIMITED BRANDS		6.63		04/01/21		410,000		417,060		434,600
552078BB2	LYONDELL CHEMICAL COMPANY		11.00		05/01/18		2,196,036		2,377,916		2,382,699
552081AC5	LYONDELLBASELL INDUSTRIES NV		6.00		11/15/21		45,000		45,000		46,575
552953BH3	MGM RESORTS INTL		10.38		05/15/14		400,000		443,860		457,000
552953BJ9	MGM RESORTS INTL		11.13		11/15/17		300,000		328,149		342,375
576203AJ2	MASSEY ENERGY COMPANY		3.25		08/01/15		3,690,000		3,483,590		3,408,638
579780AD9	MCCORMICK & CO INC		5.20		12/15/15		1,500,000		1,466,716		1,691,070
58155QAC7	MCKESSON CORP		3.25		03/01/16		2,825,000		2,816,925		2,989,920
582839AD8	MEAD JOHNSON NUTRITION CO		3.50		11/01/14		2,000,000		2,000,238		2,089,985
58404JAE8	MEDASSETS INC		0.00		11/16/16		747,948		729,802		743,460
58405UAF9	MEDCO HEALTH SOLUTIONS INC.		2.75		09/15/15		2,225,000		2,224,453		2,225,777
58446HAK8	MEDIACOM LLC		0.00		03/31/17		473,214		471,274		468,089
585055AP1	MEDTRONIC INC		4.50		03/15/14		2,750,000		2,803,419		2,955,538
58515UAM1	MEG ENERGY CORP		0.00		03/18/18		2,019,938		2,004,965		2,009,212
589331AP2	MERCK & CO INC		4.00		06/30/15		1,000,000		1,010,045		1,095,998
58933YAB1	MERK & CO INC		2.25		01/15/16		3,269,000		3,393,141		3,385,649
59266MAE6	METROPCS WIRELESS INC		0.00		03/19/18		768,064		755,717		744,254

	Allied World Assurance Company Holdings, AG
	Securities Listing as at December 31, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
594088AF3	MICHAELS STORES, INC.		0.00		07/31/16		1,445,000		1,404,591		1,419,351
608753AB5	MOLYCORP INC		3.25		06/15/16		2,430,000		2,341,757		2,074,977
60877VAJ4	MOMENTIVE PERFORMANCE MATERIAL		0.00		05/05/15		299,213		277,327		284,500
611662BM8	MONSANTO COMPANY		2.75		04/15/16		4,250,000		4,437,708		4,480,818
628783AP7	NBTY, INC.		0.00		10/01/17		299,439		297,193		295,696
63946BAA8	NBC UNIVERSAL MEDIA LLC		2.10		04/01/14		3,500,000		3,499,729		3,541,457
63946BAB6	NBC UNIVERSAL MEDIA LLC		3.65		04/30/15		12,950,000		13,050,974		13,618,053
640217AF2	NEIMAN MARCUS GROUP INC. THE		0.00		05/16/18		455,000		420,283		437,938
652482BG4	NEWS AMERICA INC		5.30		12/15/14		10,000,000		9,960,533		10,938,850
65339QAB3	NEXEO SOLUTIONS LLC		0.00		09/08/17		1,097,236		1,037,326		1,064,319
65409YAN5	VNU GROUP B.V.		0.00		05/01/16		1,167,038		1,148,924		1,141,748
654742AA3	NISSAN MOTOR ACCEPT CO		3.25		01/30/13		2,500,000		2,517,139		2,538,650
66989PAA8	NOVATEK FINANCE LIMITED		5.33		02/03/16		6,000,000		6,181,781		6,045,000
670704AC9	NUVASIVE INC		2.75		07/01/17		3,955,000		3,660,142		2,894,269
67073EAG5	NUVEEN INVESTMENT INC		0.00		05/13/17		1,475,000		1,400,339		1,414,525
674599BX2	OCCIDENTAL PETROLEUM		4.13		06/01/16		3,750,000		4,161,026		4,205,070
674599CB9	OCCIDENTAL PETROLEUM		1.75		02/15/17		2,750,000		2,725,445		2,751,408
675757AA6	ODEBRECHT DRILL VIII/IX		6.35		06/30/21		1,960,000		2,078,927		2,022,349
68268NAF0	ONEOK, INC.		3.25		02/01/16		3,550,000		3,548,250		3,647,215
69349FAF8	TOMKINS PLC		0.00		09/21/16		1,744,331		1,729,833		1,735,975
69353FAB0	PQ CORP		0.00		07/30/14		1,075,000		1,007,719		1,008,791
70336TAA2	PATRIOT COAL CORP		3.25		05/31/13		4,565,000		4,356,417		4,163,394
704549AJ3	PEABODY ENERGY		6.00		11/15/18		610,000		610,000		622,200
706451BS9	PEMEX PROJECT FUNDING MASTER T		5.75		03/01/18		1,250,000		1,373,305		1,375,000
713448BT4	PEPSICO INC		2.50		05/10/16		1,500,000		1,549,937		1,560,501
71601KAE9	PETCO ANIMAL SUPPLIES, INC.		0.00		11/24/17		1,250,000		1,207,546		1,215,788
71645WAN1	PETROBRAS INTERNATIONAL FINANC		7.88		03/15/19		4,300,000		5,273,310		5,148,064
71645WAT8	PETROBRAS INTERNATIONAL FINANC		3.88		01/27/16		2,250,000		2,243,718		2,297,832
71654QAW2	PETROLEOS MEXICANOS		6.00		03/05/20		3,600,000		3,986,728		4,032,000
717081DA8	PFIZER INC.		5.35		03/15/15		1,750,000		1,863,771		1,984,227
718172AA7	PHILIP MORRIS INTERNATIONAL IN		5.65		05/16/18		1,100,000		1,267,680		1,301,304
718172AG4	PHILIP MORRIS INTERNATIONAL IN		6.88		03/17/14		4,000,000		4,435,247		4,502,043
718172AJ8	PHILIP MORRIS INTERNATIONAL IN		2.50		05/16/16		2,400,000		2,385,526		2,476,558
72083EAF5	ADVANCE PIERRE FOODS		0.00		09/30/16		1,562,946		1,552,423		1,556,600
74005PAJ3	PRAXAIR INC.		6.38		04/01/12		1,000,000		1,001,584		1,014,219
74733LAC6	QTEL INTERNATIONAL FINANCE LTD		3.38		10/14/16		6,100,000		6,117,158		6,145,750
74966UAC4	ROYALTY PHARMA FINANCE TRUST		0.00		07/13/18		598,496		595,504		595,504
74973WAA5	RTI INTL METALS, INC.		3.00		12/01/15		830,000		828,465		831,660
755111BS9	RAYTHEON COMPANY		1.63		10/15/15		1,300,000		1,311,087		1,299,306
75524EAF5	DJO FINANCE LLC		0.00		05/20/14		498,701		474,584		477,821
75605NAD2	REALOGY		0.00		10/10/13		1,158,601		1,068,900		1,075,332
75605NAK6	REALOGY		0.00		10/10/13		123,300		113,754		114,439
758202AF2	REED ELSEVIER PLC		7.75		01/15/14		9,825,000		9,813,554		10,977,054
761735AC3	REYNOLDS GROUP HOLDINGS INC		6.88		02/15/21		500,000		502,490		496,250
76173FAJ6	REYNOLDS GROUP HOLDINGS INC		0.00		02/09/18		296,027		288,696		293,869
76173FAL1	REYNOLDS GROUP HOLDINGS INC		0.00		08/09/18		3,517,924		3,465,700		3,492,173
767201AF3	RIO TINTO FINANCE USA LIMITED		8.95		05/01/14		10,975,000		12,755,151		12,825,441
771196AQ5	ROCHE HOLDINGS INC		5.00		03/01/14		3,150,000		3,239,271		3,414,977
77509NAH6	ROGERS CABLE INC.		6.25		06/15/13		625,000		658,420		665,739
77509NAK9	ROGERS COMMUN INC.		5.50		03/15/14		10,000,000		10,576,787		10,804,916
78108AAA2	RENTAL SERVICE CORP		10.00		07/15/17		5,225,000		5,787,733		6,008,750
78355HJR1	RYDER SYSTEM INC.		3.50		06/01/17		5,875,000		5,865,529		6,023,894
78387GAP8	AT&T INC		5.10		09/15/14		4,000,000		4,282,309		4,407,036
78572MAD7	SABMILLER PLC		6.50		07/01/16		6,250,000		7,161,895		7,238,736
790849AE3	ST. JUDE MEDICAL INC.		3.75		07/15/14		5,353,000		5,627,744		5,670,945
80105NAB1	SANOFI-AVENTIS		1.63		03/28/14		1,000,000		998,970		1,014,669
80105NAC9	SANOFI AVENTIS		0.88		03/28/14		4,450,000		4,450,000		4,443,192
806854AA3	SCHLUMBERGER INVESTMENT SA		1.95		09/14/16		1,950,000		1,946,783		1,959,655
806859AA2	SCHLUMBERGER INDUSTRIES SA		2.65		01/15/16		2,500,000		2,600,148		2,593,371
80685PAC2	SCHLUMBERGER NORGE AS		1.95		09/14/16		2,700,000		2,695,546		2,713,369

	Allied World Assurance Company Holdings, AG
	Securities Listing as at December 31, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
81211LAK4	SEALED AIR CORPORATION		0.00		10/03/18		493,750		494,777		497,947
81726JAC5	SENSATA TECHNOLOGIES FINANCE C		0.00		05/12/18		1,286,767		1,269,399		1,270,953
81732LAC2	SEQUA CORP		0.00		12/03/14		1,500,000		1,419,944		1,457,505
81760GAH7	SERVICEMASTER CO		0.00		07/24/14		140,011		130,849		133,295
81760GAJ3	SERVICEMASTER CO		0.00		07/24/14		1,405,942		1,313,940		1,338,499
822582AC6	SHELL INTL FINAN		5.20		03/22/17		2,250,000		2,612,867		2,624,985
822582AF9	SHELL INTL FINAN		4.00		03/21/14		1,000,000		1,012,610		1,072,361
83002DAL9	SIX FLAGS THEME PARKS INC		0.00		12/15/18		1,150,000		1,138,500		1,143,043
84359YAA4	SOUTHERN PACIFIC RESOURCE CORP		6.00		06/30/16		350,000		315,296		329,909
84359YAB2	SOUTHERN PACIFIC RESOURCE CORP		6.00		06/30/16		1,800,000		1,767,092		1,670,513
85171HAB2	SPRINGLEAF FINANCIAL FUNDING C		0.00		05/10/17		1,725,000		1,537,459		1,498,232
852061AK6	SPRINT NEXTEL CORPORATION		9.00		11/15/18		240,000		240,000		251,700
85771PAD4	STATOIL ASA		1.80		11/23/16		6,850,000		6,838,766		6,885,412
86722CAB5	SUNCOKE ENERGY INC		0.00		07/21/18		522,369		511,930		513,228
86736GAG9	SUNGARD DATA SYSTEMS INC.		0.00		02/28/16		425,000		416,485		415,174
87309LAE8	TWCC HOLDING CORP		0.00		02/11/17		887,764		888,332		883,600
87612EAW6	TARGET CORPORATION		1.13		07/18/14		1,000,000		999,847		1,010,412
878742AJ4	TECK COMINCO LIMITED		9.75		05/15/14		6,100,000		7,119,064		7,172,261
87938WAJ2	TLEFONICA EMISNS		4.95		01/15/15		22,000,000		22,925,934		22,005,432
87951YAD3	TELESAT CANADA		0.00		10/31/14		1,508,971		1,483,224		1,486,879
87951YAE1	TELESAT CANADA		0.00		10/31/14		129,621		127,410		127,724
88033GBN9	TENET HEALTHCARE CORPORATION		6.25		11/01/18		185,000		185,000		186,850
88078FAR9	TEREX CORPORATION		0.00		04/28/17		1,296,750		1,291,340		1,302,015
881575AF1	TESCO PLC		2.70		01/05/17		1,000,000		998,903		1,016,934
88166CAA6	TEVA PHARMACEUTICAL FINANCE II		3.00		06/15/15		13,875,000		13,862,807		14,429,450
883556AW2	THERMO FISHER SCIENTIFIC INC		2.05		02/21/14		2,000,000		1,999,582		2,050,249
883556BA9	THERMO FISHER SCIENTIFIC		2.25		08/15/16		6,675,000		6,750,209		6,825,692
887317AC9	TIME WARNER INC		5.88		11/15/16		3,800,000		4,338,752		4,367,928
88732JAH1	TIME WARNER CABLE INC		5.85		05/01/17		3,800,000		4,275,315		4,322,018
88732JAK4	TIME WARNER CABLE INC		6.20		07/01/13		2,500,000		2,634,706		2,669,910
88732JAR9	TIME WARNER CABLE INC		7.50		04/01/14		1,500,000		1,631,830		1,681,911
88732JAW8	TIME WARNER CABLE INC		5.00		02/01/20		1,050,000		1,061,970		1,146,605
89233UAE5	TOYS R US DELAWR		0.00		09/01/16		1,003,106		981,635		987,367
89233UAH8	TOYS R US DELAWR		0.00		05/25/18		299,248		282,266		292,330
8935268Y2	TRANSCANADA PIPELINES LIMITED		7.13		01/15/19		1,800,000		2,247,976		2,291,082
893526CC5	TRANSCANADA PIPELINES LIMITED		8.63		05/15/12		11,675,000		11,828,021		11,984,849
89364MAQ7	TRANSDIGM GROUP INC		0.00		02/14/17		926,404		915,895		917,724
89378TAB9	TRANSNET LTD		4.50		02/10/16		5,950,000		5,922,231		6,025,565
893830AX7	TRANSOCEAN INC		4.95		11/15/15		4,200,000		4,504,458		4,252,955
893830BA6	TRANSOCEAN INC		5.05		12/15/16		5,900,000		5,894,511		6,045,210
902133AF4	TYCO ELECTRONICS		6.55		10/01/17		4,050,000		4,574,056		4,701,916
90343NAB2	US FOODSERVICE		0.00		03/31/17		249,372		229,035		239,190
90343TAL7	US TELEPACI		0.00		02/23/17		1,533,964		1,458,941		1,415,081
90390NAJ7	US FOODSERVICE		0.00		07/03/14		533,603		495,991		494,474
907818CV8	UNION PACIFIC CO		4.88		01/15/15		1,150,000		1,154,958		1,261,295
91335FAE1	UNIVR		0.00		06/30/17		1,120,913		1,070,339		1,077,657
914908AN8	UNIVISION COMMUNICATIONS INC.		0.00		03/31/17		1,170,000		1,021,308		1,039,627
91730FAJ1	ALTEGRITY INC		0.00		02/21/15		720,000		715,223		712,800
91911TAF0	VALE OVERSEAS LIMITED		6.25		01/11/16		4,300,000		4,800,790		4,798,404
91911XAR5	BIOVAIL CORP		6.50		07/15/16		200,000		186,617		199,500
91911XAS3	BIOVAIL CORP		7.25		07/15/22		100,000		96,923		98,500
92343VAY0	VERIZON COMMUNICATIONS INC.		3.00		04/01/16		11,500,000		11,448,717		12,043,056
92343VAZ7	VERIZON COMMUNICATIONS INC.		1.18		03/28/14		4,600,000		4,600,000		4,594,066
92344SAK6	CELLCO PARTNERSHIP/VERIZON WIR		8.50		11/15/18		15,700,000		20,825,205		21,289,273
92344SAP5	CELLCO PARTNERSHIP/VERIZON WIR		5.55		02/01/14		4,000,000		4,291,304		4,342,914
92531SAW3	VERTAFORE INC		0.00		07/29/16		503,103		490,838		491,280
92857WAK6	VODAFONE GROUP PLC		5.75		03/15/16		4,700,000		5,160,385		5,409,544
92857WAP5	VODAFONE GROUP PLC		5.63		02/27/17		9,300,000		9,878,812		10,849,400
92857WAS9	VODAFONE GROUP PLC		5.45		06/10/19		2,750,000		3,154,019		3,211,564
92858GAB0	VODAFONE AMERICAS FINANCE 2 IN		0.00		08/11/15		1,500,000		1,502,367		1,496,250

	Allied World Assurance Company Holdings, AG
	Securities Listing as at December 31, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
92928DAH0	WM BOLTHOUSE FARMS INC		0.00		02/11/16		53,474		52,395		53,229
931142DA8	WAL-MART STORES INC		1.63		04/15/14		4,600,000		4,590,449		4,700,476
93316UAD9	WALTER ENERGY INC		0.00		04/02/18		2,008,265		2,002,912		1,986,295
93443NAW9	WARNER CHILCOTT CORP		0.00		03/15/18		592,793		584,171		583,438
93443NAX7	WARNER CHILCOTT CORP		0.00		03/15/18		296,396		292,086		291,719
93443NAY5	WARNER CHILCOTT CORP		0.00		03/15/18		407,545		401,618		401,114
947075AD9	WEATHERFORD INTL INC		6.00		03/15/18		5,347,000		5,786,193		5,921,852
94707VAA8	WEATHERFORD INTL, INC.		5.13		09/15/20		3,000,000		3,173,397		3,128,428
94770VAE2	WEBMD HEALTH CORP		2.50		01/31/18		3,600,000		3,268,481		3,349,620
94770VAG7	WEBMD HEALTH CORP		2.25		03/31/16		4,680,000		4,604,244		4,488,499
980888AC5	WOOLWORTHS LTD		2.55		09/22/15		2,750,000		2,747,566		2,790,179
980888AE1	WOOLWORTHS LTD		3.15		04/12/16		250,000		258,145		258,203
98235TAA5	WRIGHT MEDICAL GRP INC.		2.63		12/01/14		3,220,000		3,036,515		2,995,888
982526AF2	WM. WRIGLEY JR. COMPANY		2.45		06/28/12		2,000,000		1,999,836		2,014,812
983024AA8	WYETH		5.50		03/15/13		5,000,000		5,135,302		5,300,284
984121BS1	XEROX CREDIT CORPORATION		5.50		05/15/12		1,550,000		1,569,798		1,576,432
98419MAC4	XYLEM INC		3.55		09/20/16		4,475,000		4,466,899		4,574,614
99AA41995	HAWAIIAN TELCOM COMMUNICATIONS		0.00		10/28/15		1,000,000		1,018,750		1,007,500
99AA43850	BUSCH ENTERTAINMENT LLC		0.00		08/17/17		748,006		747,200		742,770
99AA44650	GENTEK HOLDING LLC		0.00		10/06/15		890,000		892,738		881,990
99AA44767	NOVELIS INC/GA		0.00		03/10/17		1,187,003		1,166,763		1,165,245
99AA44775	IMS HEALTH INCORPORATED		0.00		08/26/17		952,578		948,259		948,710
99AA47042	QUINTILES TRANSNATIONAL CORP.		0.00		06/08/18		598,496		565,088		585,629
99AA47422	ENDO PHARMACEUTICALS HLDGS INC		0.00		06/07/18		661,363		664,669		660,642
99AA48479	IMMUCOR, INC.		0.00		07/02/18		1,615,950		1,607,398		1,623,222
99AA48842	MICROSEMI CORPORATION		0.00		02/02/18		872,813		855,862		869,976
99AA49253	FIFTH THIRD PROCESSING SOLUTIO		0.00		11/03/16		1,072,299		1,071,107		1,067,474
99AA49881	UPC FINANCING PARTNERSHIP		0.00		12/31/17		1,600,000		1,563,697		1,564,000
99AA49956	WEB.COM GROUP INC		0.00		10/27/17		350,000		309,613		320,250
99AA49972	SEQUA CORP		0.00		12/03/14		1,650,000		1,656,419		1,662,375
99AA50038	AFFINION GROUP		0.00		10/09/16		1,285,471		1,175,734		1,145,136
99AA50087	POLYONE CORP		0.00		10/28/17		190,000		188,104		189,820
99AA50194	NEUSTAR		0.00		11/03/18		658,350		653,659		658,350
99AA50277	HEALTH MANAGEMENT ASSOCIATES I		0.00		11/16/18		785,000		779,339		780,447
99AA50293	NXP BV AND NXP FUNDING LLC		0.00		03/04/17		498,750		480,717		481,917
99AA50301	B&G FOODS INC		0.00		11/18/18		125,000		123,761		125,104
99AA50319	PHARMACEUTICAL PRODUCT DEV, IN		0.00		11/03/18		1,470,000		1,453,723		1,459,210
99AA50509	NOVELIS INC/GA		0.00		03/10/17		892,763		870,651		871,559
99AA50673	LIN TELEVISION CORPORATION		0.00		12/09/18		460,000		455,400		458,275
99AA50707	SINCLAIR TELEVISION GROUP INC		0.00		10/29/15		274,629		273,004		273,451
99AA50731	SINCLAIR TELEVISION GROUP INC		0.00		10/28/16		190,000		188,100		189,185
99AA50749	99 CENTS ONLY STORES		0.00		12/07/18		875,000		857,500		869,348
99AA50764	CAPITAL SAFETY GROUP LTD		0.00		12/16/18		450,000		441,000		447,188
99AA50772	DATATEL INC		0.00		06/05/18		590,000		581,150		589,634
C1467EAB6	CCS CORP		0.00		11/14/14		996,111		904,646		918,085
C3927NAC4	GIBSON ENERGY ULC		0.00		06/15/18		1,195,746		1,196,115		1,190,963
L0001JAB0	AWAS AVIATION SERVICES INC		0.00		06/10/16		244,565		242,010		242,323
L5137LAC9	INTELSAT JACKSON		0.00		04/02/18		4,556,115		4,490,870		4,516,249
L8882WAD4	STYRON CORP		0.00		08/02/17		598,489		525,140		515,825
L9057MAA9	TNK-BP FINANCE SA		7.50		07/18/16		4,750,000		5,206,131		4,985,410
							1,016,310,559		1,048,270,266		1,064,815,094
Corporate Securities - Utilities
00809DAJ3	THE AES CORPORATION		0.00		06/01/18		997,487		987,074		992,879
037735CQ8	APPALACHIAN POWER COMPANY		3.40		05/24/15		1,075,000		1,072,953		1,124,561
131347BP0	CALPINE CORPORATION		7.25		10/15/17		1,550,000		1,581,193		1,612,000
15234QAJ7	ELETROBRAS		6.88		07/30/19		5,000,000		5,662,446		5,654,218
202795HW3	COMMONWEALTH EDISON COMPANY		1.63		01/15/14		1,600,000		1,598,407		1,610,048
209111DZ3	CONSOLIDATED EDISON CO OF NY		5.63		07/01/12		550,000		547,200		562,854
209111EA7	CONSOLIDATED EDISON CO OF NY		4.88		02/01/13		3,000,000		3,101,776		3,125,037

	Allied World Assurance Company Holdings, AG
	Securities Listing as at December 31, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
209111EX7	CONSOLIDATED EDISON CO OF NY		6.65		04/01/19		4,589,000		5,586,332		5,766,923
22282EAA0	COVANTA HOLDING CORP		1.00		02/01/27		2,880,000		2,746,610		2,859,840
264399EQ5	DUKE ENERGY CORP		6.30		02/01/14		4,000,000		4,400,347		4,413,045
26817DAB5	DYNEGY MIDWEST GENERATION LLC		0.00		08/05/16		1,541,138		1,535,198		1,547,641
26817MAB5	DYNEGY POWER LLC		0.00		08/05/16		299,250		295,677		302,491
291011AT1	EMERSON ELECTRIC CO		4.50		05/01/13		1,000,000		988,614		1,049,696
29268BAE1	ENEL FINANCE INTERNATIONAL SA		5.13		10/07/19		1,750,000		1,743,697		1,558,308
29269QAA5	ENERGY FUTURE INTERMEDIATE HOL		10.00		12/01/20		2,000,000		2,029,232		2,110,000
29364GAE3	ENTERGY CORPORATION		3.63		09/15/15		1,500,000		1,527,078		1,533,161
340711AQ3	FL GAS TSMN CO		7.90		05/15/19		7,000,000		8,266,053		8,690,444
373334FN6	GEORGIA POWER COMPANY		5.13		11/15/12		1,250,000		1,248,900		1,296,139
373334JM4	GEORGIA POWER COMPANY		6.00		11/01/13		1,000,000		1,071,746		1,089,698
391164AD2	GREAT PLAINS ENERGY INCORPORAT		2.75		08/15/13		3,000,000		2,999,243		3,033,466
45138LAK9	IDAHO POWER COMPANY		4.75		11/15/12		1,750,000		1,734,330		1,800,680
461070AH7	INTERSTATE POWER & LIGHT CO		3.30		06/15/15		3,000,000		2,993,498		3,130,500
494550AZ9	KINDER MORGAN ENERGY PARTNERS		9.00		02/01/19		4,500,000		5,572,945		5,693,331
494550BB1	KINDER MORGAN ENERGY PARTNERS		6.85		02/15/20		2,145,000		2,417,283		2,553,188
50064YAB9	KOREA HYDRO		3.13		09/16/15		6,100,000		6,163,560		6,107,625
559080AA4	MAGELLAN MIDSTREAM PARTNERS LP		6.45		06/01/14		10,550,000		10,346,971		11,728,279
595620AD7	MIDAMERICAN ENERGY HOLDINGS CO		4.65		10/01/14		25,800,000		25,902,339		28,191,673
67021CAB3	NSTAR ELEC CO		4.88		04/15/14		5,000,000		5,161,217		5,365,094
69331CAE8	PG&E CORPORATION		5.75		04/01/14		10,000,000		9,974,065		10,864,135
69353UAB7	PPL WEM HOLDINGS PLC		3.90		05/01/16		5,675,000		5,669,853		5,918,623
737679CW8	POTOMAC ELECTRIC POWER COMPANY		4.95		11/15/13		1,200,000		1,141,087		1,284,960
743263AM7	PROGRESS ENERGY INC.		6.05		03/15/14		10,000,000		10,102,308		11,049,616
744448BU4	PUBLIC SERVICE COLORADO		7.88		10/01/12		1,070,000		1,066,552		1,127,011
74456QAW6	PUBLIC SERVICE ELECTRIC & GAS		2.70		05/01/15		1,075,000		1,073,677		1,110,056
842400EY5	SOUTHERN CALIFORNIA EDISON CO		5.00		01/15/16		3,500,000		3,957,638		3,928,672
842434CA8	SOUTHERN CALIFORNIA GAS CO		4.80		10/01/12		700,000		694,318		720,877
842587CE5	SOUTHERN COMPANY		4.15		05/15/14		10,575,000		10,583,125		11,184,415
842587CG0	SOUTHERN COMPANY		2.38		09/15/15		400,000		405,972		407,636
84755TAB3	SPECTRA ENERGY CAPITAL LLC		5.90		09/15/13		2,650,000		2,776,131		2,831,765
893526DH3	TRANSCANADA PIPELINES LIMITED		3.40		06/01/15		4,250,000		4,249,418		4,497,603
89352HAA7	TRANS-CANADA PIPELINES		4.00		06/15/13		5,300,000		5,294,019		5,513,740
89354FAE1	TRANSCAPITALINVEST LTD FOR OJS		8.70		08/07/18		1,700,000		2,053,756		2,048,500
96950FAB0	WILLIAMS PRTNRS		3.80		02/15/15		5,000,000		5,009,215		5,241,663
976656CA4	WISCONSIN ELECTRIC POWER CO		6.00		04/01/14		4,500,000		4,918,870		4,945,016
							172,021,875		178,251,920		187,177,107
Asset Backed Securities - Credit Cards
05522RBD9	BACCT		5.59		11/17/14		1,000,000		1,022,970		1,022,388
05522RBF4	BACCT		0.35		12/15/16		1,000,000		994,248		997,685
06423RAV8	BOIT		0.53		01/15/16		1,000,000		1,000,750		1,001,931
126802BJ5	CABELAS MASTER CREDIT CARD TRU		1.73		01/16/18		13,925,000		14,360,994		14,361,967
126802BM8	CABMT_10-IA		2.29		09/17/18		2,000,000		1,999,305		2,060,300
126802BR7	CABMT_10-IA		2.39		06/17/19		3,000,000		2,999,443		3,107,190
126802BS5	CABMT_10-IA		0.88		06/17/19		3,500,000		3,500,000		3,521,770
14041NBG5	COMET		0.49		12/15/16		5,460,000		5,463,408		5,455,167
161571AA2	CHASE ISSURANCE TRUST 04_A8		0.40		09/15/15		3,250,000		3,247,295		3,251,362
161571CH5	CHAIT		5.12		10/15/14		8,600,000		8,859,361		8,894,980
55264TDX6	MBNA CREDIT CARD MASTER NOTE T		0.34		10/15/15		750,000		748,445		749,484
							43,485,000		44,196,220		44,424,222
Asset Backed Securities - Auto
02005TAD9	ALLYA _11-1		2.23		03/15/16		6,000,000		5,999,545		6,150,410
03064NAD8	AMERICREDIT AUTOMOBILE RECEIVA		1.61		10/08/15		3,750,000		3,749,773		3,749,848
06052FAC4	BAAT_09-2		2.13		09/15/13		4,427,564		4,427,557		4,438,633
06052MAC9	BAAT		1.31		07/15/14		1,705,689		1,705,673		1,709,782
09657MAC2	BMWLT_10-1		1.39		04/25/14		1,055,378		1,055,371		1,060,160

	Allied World Assurance Company Holdings, AG
	Securities Listing as at December 31, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
14313CAC0	CARMX_10-1		1.56		07/15/14		1,098,344		1,098,297		1,102,913
34529GAF2	FORDO_09-D		2.17		10/15/13		11,744,376		11,744,128		11,804,391
34529HAC7	FORDO		1.51		01/15/14		1,328,681		1,328,630		1,332,003
34529PAC9	FORDO_11-A		0.97		01/15/15		3,500,000		3,499,717		3,504,710
34529QAC7	FORDL_11-A		1.03		07/15/14		3,600,000		3,599,906		3,598,632
41283KAC1	HDMOT_10-1		1.16		02/15/15		3,650,000		3,649,732		3,658,176
41283NAC5	HARLEY DAVIDSON MOTORCYCLE TRU		0.48		10/15/14		4,000,000		4,000,000		3,999,960
43811AAC0	HAROT		0.88		09/21/15		11,250,000		11,248,974		11,220,750
43812BAG8	HAROT_10-1		1.25		10/21/13		1,363,249		1,363,183		1,366,444
43812WAC1	HONDA AUTO RECIEVABLES OWNER T		2.31		05/15/13		416,326		417,827		417,967
43813TAD5	HAROT_11-1		1.80		04/17/17		2,500,000		2,499,499		2,539,254
44923YAC1	HART_10-B		0.97		04/15/15		2,150,000		2,149,828		2,150,430
44924CAA2	HCAF_10-8A		1.28		09/20/16		2,275,000		2,230,488		2,287,490
587682AC9	MBART_10-A		1.42		08/15/14		822,425		822,369		826,460
98158KAD1	WORLD OMNI AUTO RECEIVABLES TR		1.91		04/16/16		6,200,000		6,199,743		6,307,136
							72,837,032		72,790,241		73,225,548
Asset Backed Securities - Student Loans
00432CAZ4	AGSL_03-1		1.60		12/26/35		4,100,000		3,732,596		3,402,008
00432CBB6	AGSL_03-1		1.63		12/26/35		3,600,000		3,212,951		2,987,395
00432CBP5	AGSL_03-1		1.63		12/27/32		5,350,000		4,789,269		4,446,358
041150DJ9	ASLA_10-1		1.41		11/25/43		6,617,787		6,557,690		6,389,407
10620NCG1	BRHEA_05-2		1.31		02/25/30		12,800,000		12,642,232		12,444,288
10620NCK2	BRAZOS HIGHER EDUCATION AUTHOR		1.27		07/25/29		5,100,000		5,051,347		4,957,302
194262CD1	COLLE_04-1		0.58		04/25/21		16,753,608		16,725,971		16,669,840
28140VAB9	EFCT_04-1		0.71		12/15/22		3,772,284		3,737,322		3,744,859
36156HAV0	GCOE_06-1		0.64		05/25/25		7,100,000		6,419,571		6,436,860
36156HAX6	GCOE_06-1		0.69		02/25/28		1,000,000		851,438		854,130
36156HAY4	GCOE_06-1		0.73		05/25/36		2,200,000		1,801,255		1,817,530
429827AB4	HEF_10-401		1.63		01/01/44		2,100,000		1,798,346		1,765,869
429827AE8	HIGHER EDUCATION FUNDING HEF_0		0.00		01/01/44		2,100,000		1,788,403		1,765,869
429827AF5	HEF_10-401		1.74		01/01/44		2,100,000		1,781,320		1,765,869
429827AJ7	HIGHER EDUCATION FUNDING HEF_0		1.63		01/01/44		2,100,000		1,780,823		1,765,869
429827AK4	HIGHER EDUCATION FUNDING HEF_0		1.81		01/01/44		2,300,000		1,942,435		1,934,047
429827AN8	HEF_04-1		1.67		01/01/44		2,100,000		1,768,933		1,765,869
429827AQ1	HEF_04-1		0.00		01/01/44		2,950,000		2,451,475		2,499,361
452281JB5	ILLINOIS STUDENT ASSISTANCE CO		0.90		04/25/17		4,553,006		4,553,006		4,527,053
57563NAA6	MEFA		1.37		04/25/38		3,777,947		3,761,957		3,788,979
698475AM2	PPHEA_10-2		1.71		10/01/35		7,175,005		7,175,005		7,157,641
71722TAF1	PHEAA_04-1		0.57		04/25/44		2,000,000		1,836,491		1,755,102
71722TAG9	PHEAA_04-1		1.60		04/25/44		6,000,000		5,533,679		5,265,660
78442GHY5	SLMA		1.77		12/15/16		1,000,000		1,000,000		999,688
78442GHZ2	SLMA		1.77		12/15/16		6,500,000		6,500,000		6,497,969
78442GJA5	SLM STUDENT LOAN TR 2003-10A		1.78		12/15/16		1,400,000		1,400,000		1,399,563
78442GJD9	SLM STUDENT LOAN TR 2003-10A		1.77		12/15/16		6,100,000		6,070,743		6,098,094
78442GQR0	SLMA		1.17		01/25/28		425,000		416,253		397,202
78446JAA4	SLM STUDENT LOAN TRUST SLMA_11		0.89		11/25/27		3,340,134		3,333,926		3,278,676
83149TAA2	SLMA_09-D		3.50		08/17/43		9,501,082		9,548,535		9,384,356
83715AAK5	SOUTH CAROLINA STUDENT LN CORP		0.87		01/25/21		6,019,114		6,010,081		5,957,297
86386MAY0	STUDENT LOAN CON		1.51		10/25/27		45,014,399		45,014,399		44,977,856
							186,949,365		180,987,451		178,897,867
Asset Backed Securities - Other
02005ABB3	ALLY MASTER OWNER TRUST AMOT_1		1.15		01/15/16		13,000,000		13,000,000		13,031,850
041239CD4	ARKLE_06-1A		1.87		05/17/60		5,000,000		5,000,000		4,987,835
12612AAC6	CNH_09-C		1.85		12/16/13		16,112		16,112		16,118
12612BAC4	CNH_10-A		1.54		07/15/14		648,360		648,332		650,060
12621UAC1	CNH_10-B		1.03		11/17/14		4,176,713		4,176,306		4,178,258
12621UAD9	CNH_10-B		1.74		01/17/17		4,750,000		4,749,251		4,799,685

	Allied World Assurance Company Holdings, AG
	Securities Listing as at December 31, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
15200MAA5	CNP		4.19		02/01/20		2,716,291		2,887,377		2,934,464
15200NAA3	CNP		1.83		02/15/16		1,793,370		1,793,356		1,817,070
15200NAB1	CNP		3.46		08/15/19		2,400,000		2,475,690		2,599,607
29365KAA1	ETI		2.12		02/01/16		1,012,638		1,012,614		1,029,653
29366AAA2	ENTERGY LOUISIANA INVESTMENT		2.04		09/01/23		11,000,000		10,998,092		11,029,590
36829KAC2	GESET		1.92		07/15/16		778,832		778,823		779,946
36830HAC6	GE EQUIPMENT SMALL TICKET LLC		1.45		01/21/18		1,700,000		1,699,824		1,705,066
43641NBC7	HMI		1.80		10/15/54		4,700,000		4,700,000		4,690,600
477874AC5	JDOT_09		2.59		10/15/13		121,775		121,921		121,919
47787AAD9	JDOT_10-A		1.32		05/15/14		925,068		925,022		927,196
57164XAA7	MVCOT 2009-2A		4.81		07/20/31		5,251,090		5,251,025		5,363,989
693401AE1	PERF		4.47		12/25/14		2,900,000		2,970,921		2,975,049
75953MAD2	CENTERPOINT ENERGY TRANSITION		5.63		09/15/15		4,240,961		4,415,262		4,452,405
826502AA4	SRFC		5.27		03/20/19		422,493		429,775		439,165
82651AAA5	SRFC		5.37		09/20/19		1,121,115		1,143,051		1,138,302
Z914HKQ87	GFUND_11-1		2.43		04/24/47		4,800,000		7,698,977		7,304,541
							73,474,818		76,891,730		76,972,368
Asset Backed Securities - CLO
00083VAA9	ACASC_07-1		0.64		04/20/21		6,750,000		6,109,954		6,141,069
04010HAB8	ARES CLO FUNDS ARES		0.80		09/18/17		3,235,688		3,231,204		3,156,226
04010HAC6	ARES_05-10A		0.80		09/18/17		8,362,692		8,352,175		8,126,513
04011XAB2	ARES		0.76		02/24/18		13,162,095		12,186,894		12,594,151
04011XAC0	ARES		0.76		02/24/18		14,059,511		12,995,587		13,443,704
14308VAA9	CARLYLE HIGH YIELD PARTNERS		0.82		08/11/16		9,042,887		8,829,739		8,787,497
158715AA0	CHAMPLAIN CLO LTD CHAM_04-1A		0.93		06/15/16		3,122,346		3,038,658		3,016,558
16208NAA3	CHAT		0.68		08/03/19		16,793,746		15,532,352		16,160,319
33736EAA9	FIRST CLO LTD		0.77		07/27/16		395,072		390,444		390,608
33736TAB4	FRST_04-2A1		0.85		12/14/16		2,287,259		2,251,969		2,235,015
363206AF0	GALE		0.65		04/19/21		10,000,000		9,084,976		9,169,520
482474AA1	KKR FINANCIAL CLO LTD KKR_05-1		0.69		04/26/17		834,317		774,141		794,687
48248CAA2	KKR FINANCIAL CLO LTD KKR_07-1		0.81		05/15/21		12,619,306		11,777,510		11,357,376
51506DAA1	LANDM_04-1A		0.90		12/15/16		11,258,215		10,751,017		10,924,454
51506JAA8	LANDM_05-1A		0.83		06/01/17		3,981,082		3,803,981		3,832,986
730018AA6	PLMR_10-1A		1.96		02/16/19		2,567,383		2,567,383		2,553,277
97314VAA6	WIND RIVER CLO LTD WINDR_04-1A		0.89		12/19/16		2,112,021		2,064,622		2,038,100
G84358AA1	STANFIELD VEYRON		0.62		07/15/18		23,880,973		23,147,867		23,082,656
G6843PAA3	PCDO_04-4X		0.81		02/15/17		1,922,625		1,881,586		1,873,417
							146,387,219		138,772,057		139,678,134
State and Municipal
04057PFH6	ARIZONA SCH FACS BRD CTFS PART		5.00		09/01/19		1,775,000		1,707,056		1,913,166
040654MP7	ARIZONA ST TRANSN BRD		5.00		07/01/20		500,000		483,860		555,495
13063BFQ0	CALIFORNIA ST		5.75		03/01/17		17,000,000		17,481,765		19,061,760
162393DW9	CHATTANOOGA TENN		5.00		09/01/28		1,000,000		1,085,391		1,104,720
181059BM7	CLARK CNTY NEV SCH DIST FOR IS		5.00		06/15/17		1,500,000		1,496,677		1,699,560
189194CL5	CLOVERDALE IND MULTI-SCH BLDG		5.00		07/15/19		1,365,000		1,330,279		1,524,555
20772JBU5	CT ST		2.12		05/15/15		1,000,000		1,000,000		1,031,880
207758AY9	CONNECTICUT ST SPL TAX OBLIG R		5.00		07/01/19		650,000		625,494		728,410
2131838D1	COOK CNTY ILL		5.00		11/15/19		1,000,000		963,294		1,124,380
230822PL6	CUMBERLAND VALLEY PA SCH DIST		5.00		11/15/20		1,300,000		1,246,036		1,449,019
294223LN0	EPHRATA PA AREA SCH DIST		5.00		03/01/19		500,000		483,651		558,595
385244HG6	GRAND BLANC MICH CMNTY SCHS		5.00		05/01/20		1,000,000		968,582		1,077,200
407287KC4	HAMILTON CNTY OHIO		5.00		12/01/25		2,000,000		2,074,879		2,131,640
41422EDK6	HARRIS CNTY TEX MET TRAN AUTH		5.00		11/01/30		3,000,000		3,257,044		3,358,350
419791YH5	HAWAII ST		3.38		02/01/16		2,575,000		2,584,513		2,779,223
4521518T3	ILLINOIS ST		3.32		01/01/13		12,000,000		12,060,300		12,201,839
4521518V8	ILLINOIS ST		4.42		01/01/15		12,620,000		12,638,552		13,063,088
452152HP9	ILLINOIS ST		4.03		03/01/14		5,000,000		5,000,000		5,134,600

	Allied World Assurance Company Holdings, AG
	Securities Listing as at December 31, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
463655GW4	IRVINE RANCH CALIF WTR DIST JT		2.61		03/15/14		3,500,000		3,571,643		3,636,360
468312DN0	JACKSON MICH PUB SCHS		5.00		05/01/20		1,000,000		963,395		1,077,200
48542KNH8	KANSAS ST DEV FIN AUTH REV		5.00		06/01/12		500,000		502,479		509,955
49151EXA6	KENTUCKY ST PRP & BLDG COM		5.00		10/01/17		565,000		562,436		671,531
508205GV7	LAKE COOK KANE AND MCHENRY CNT		5.00		12/01/16		2,385,000		2,411,886		2,783,247
567505GY2	MARICOPA CNTY ARIZ UN HIGH SCH		5.13		07/01/16		1,125,000		1,146,909		1,321,763
575579RS8	MASSACHUSETTS BAY TRANSN AUTH		5.00		07/01/20		35,000		35,173		43,893
57563EAE8	MASSACHUSETTS ST DEPT TRANSN M		1.81		01/01/15		3,100,000		3,100,000		3,098,915
57563EAF5	MASSACHUSETTS ST DEPT TRANSN M		2.06		01/01/16		2,000,000		2,000,000		2,000,600
57563EAG3	MASSACHUSETTS ST DEPT TRANSN M		2.41		01/01/17		2,305,000		2,305,000		2,316,709
57582PDK3	MASSACHUSETTS ST		0.71		11/01/18		2,000,000		1,563,632		1,872,880
57583PEN5	MASSACHUSETTS ST		3.59		12/15/16		5,000,000		5,000,000		5,410,700
603827TV8	MINNEAPOLIS & ST PAUL MINN MET		5.00		01/01/15		1,035,000		1,118,072		1,124,735
64468TRZ2	NEW HAMPSHIRE ST HSG FIN AUTH		5.88		07/01/21		60,000		54,024		60,054
645918B69	NEW JERSEY ECONOMIC DEV AUTO R		5.00		09/01/20		5,500,000		6,116,166		6,490,385
64966B3L5	NEW YORK N Y		1.10		01/15/16		5,250,000		5,205,759		5,215,193
64966G4H2	NEW YORK NY		5.00		04/01/26		3,000,000		3,250,490		3,346,860
64966JAS5	NEW YORK NY		6.65		12/01/31		4,000,000		4,000,000		4,610,400
64971M5E8	NEW YORK NY CITY TRANSITIONAL		4.08		11/01/20		3,000,000		3,000,000		3,329,730
64971QHT3	NEW YORK N Y CITY TRANSITIONAL		5.00		11/01/27		3,000,000		3,355,672		3,491,010
650035TC2	NEW YORK ST URBAN DEV CORP REV		2.48		12/15/13		4,250,000		4,304,213		4,402,873
663903CA8	NORTHEAST OHIO REGL SWR DIST W		5.00		11/15/16		400,000		406,730		474,640
677520SW9	OHIO ST		5.00		11/01/20		1,500,000		1,437,921		1,703,085
677521HS8	OHIO ST		2.18		08/01/14		3,500,000		3,500,000		3,603,425
709223Q38	PA TURNPIKE-E		5.00		12/01/24		1,015,000		1,125,375		1,175,756
742633PD6	PRIOR LAKE MINN INDPT SCH DIST		5.00		02/01/20		1,195,000		1,169,392		1,323,152
745220FG3	PUERTO RICO COMWLTH INFRASTRUC		5.50		07/01/17		1,000,000		1,040,833		1,113,340
763682ZX2	RICHLAND CNTY S C SCH DIST NO		5.00		05/01/25		2,000,000		2,281,490		2,373,660
780427KA7	ROYAL OAK CITY MICH SCH DIST		5.00		05/01/19		2,000,000		1,933,112		2,245,600
795560AR2	SALT LAKE & SANDY UTAH		5.00		07/01/20		1,820,000		1,740,771		1,979,250
83714RBA0	SOUTH CAROLINA STUDENT LN		0.62		12/02/19		5,000,000		4,889,800		4,846,500
837151AM1	SOUTH CAROLINA ST PUB SVC AUTH		1.00		06/02/14		6,750,000		6,750,000		6,757,763
837562KS5	SOUTH DAKOTA ST UNIV		5.00		04/01/20		1,545,000		1,470,709		1,629,975
914119HX3	UNIVERSITY CINCINNATI OHIO		5.00		06/01/18		2,015,000		1,957,885		2,245,516
914437PF9	UNIVERSITY MASS BLDG AUTH		5.00		11/01/19		1,530,000		1,469,620		1,703,609
914455KY5	UNIVERSITY MICH UNIV REVS		2.36		04/01/16		2,000,000		2,000,000		2,068,780
919061EX5	VALDEZ AK - EXXON PIPELINE CO		5.00		01/01/14		2,000,000		2,137,377		2,140,880
938234MJ7	WASHINGTON CNTY ORE		5.00		06/01/20		1,035,000		996,840		1,202,918
98458PAB1	YALE UNIVERSITY		2.90		10/15/14		1,400,000		1,398,326		1,480,447
							156,100,000		157,760,506		167,380,767
Total Fixed Income Securities							6,494,413,436		6,434,386,745		6,498,702,588

	Allied World Assurance Company Holdings, AG
	Securities Listing as at December 31, 2011

Cusip	Security Description	Coupon		Maturity		Par		Book Value $		Market Value $
Equities
24835100	AMER CMPS COMM		0.00		12/31/2061		213,800		6,741,123		8,971,048
00208D408	ARC RESOURCES LTD		0.10		12/31/61		247,300		5,853,418		6,067,877
03761U106	APOLLO INVSTMNT		0.00		12/31/61		577,800		6,022,542		3,721,032
03836W103	PHILADELPHIA SUBURBAN CORPORAT		0.00		12/31/61		328,200		6,931,060		7,236,810
09247X101	BLACKROCK CREDIT (OFFSHORE)		0.00		12/31/61		48,250		8,940,457		8,600,080
09784Y108	BONAVISTA ENERGY TRUST		0.12		12/31/61		247,100		6,733,781		6,354,078
13466Y105	CAMPUS CREST COMMUNITIES INC		0.00		12/31/61		459,329		5,500,301		4,620,850
15189T107	CENTERPOINT ENERGY INC.		1.50		12/31/61		538,800		9,352,006		10,824,492
156700106	CENTURYTEL INC		0.00		12/31/61		258,350		10,635,452		9,610,620
16941M109	CHINA MOBILE HONG KONG LIMITED		0.00		12/31/61		111,500		5,420,252		5,406,635
17133Q502	CHUNGHWA TELECOM CO. LTD.		0.00		12/31/61		151,700		4,833,626		5,048,576
18802108	ALLIANT ENERGY CORP		0.00		12/31/2061		230,400		8,842,423		10,162,944
22576C101	CRESCENT POINT ENERGY CORP		0.23		12/31/61		166,100		6,877,111		7,328,332
253868103	DIGITAL REALTY		0.00		12/31/61		82,850		4,770,652		5,523,610
279158109	ECOPETROL SA		0.54		12/31/61		178,600		7,697,141		7,951,272
30161N101	EXELON CORPORATION		0.00		12/31/61		249,100		10,640,425		10,803,467
351858105	FRANCO NEVADA CORP		0.00		12/31/61		207,000		6,803,470		7,883,585
391164100	GREAT PLAINS ENERGY INCORPORAT		0.00		12/31/61		287,200		5,959,226		6,255,216
40414L109	HEALTH CARE PROPERTY INVESTORS		0.00		12/31/61		228,500		8,440,156		9,466,755
478160104	JOHNSON & JOHNSON		1.66		12/31/61		124,400		7,840,296		8,158,152
595017104	MICROCHIP TECHNOLOGY INC		0.00		12/31/61		225,200		7,879,488		8,249,076
646025106	NEW JERSEY RESOURCES		1.72		12/31/61		110,100		4,690,777		5,416,920
65473P105	NISOURCE INC		0.92		12/31/61		223,200		4,940,608		5,314,392
655844108	NORFOLK SOUTHERN CORPORATION		0.32		12/31/61		34,800		2,315,933		2,535,528
664397106	NORTHEAST UTILITIES		0.00		12/31/61		111,800		3,506,082		4,032,626
66987V109	NOVARTIS AG		0.00		12/31/61		180,400		10,495,866		10,313,468
67019E107	NSTAR		1.98		12/31/61		50,200		1,896,129		2,357,392
69331C108	PG&E CORPORATION		0.00		12/31/61		191,000		8,201,739		7,873,020
718172109	PHILIP MORRIS INTERNATIONAL IN		0.00		12/31/61		134,900		7,932,780		10,586,952
718252604	PHILIPPINE LONG DISTANCE TEL C		0.00		12/31/61		101,100		5,535,310		5,825,382
743263105	PROGRESS ENERGY INC		0.00		12/31/61		182,000		8,302,126		10,195,640
74965L101	RLJ LODGING TRUST		0.00		12/31/61		335,197		5,666,275		5,641,366
754907103	RAYONIER INC.		1.08		12/31/61		157,725		5,743,378		7,039,267
780287108	ROYAL GOLD INC		0.00		12/31/61		128,600		6,934,539		8,671,498
80105N105	SANOFI AVENTIS		0.00		12/31/61		282,000		9,747,429		10,304,280
847560109	SPECTRA ENERGY CORP		0.00		12/31/61		285,000		7,170,045		8,763,750
872375100	TECO ENERGY INC.		0.00		12/31/61		318,600		5,527,686		6,098,004
89151E109	TOTAL SA		0.00		12/31/61		191,500		10,806,187		9,787,565
904784709	UNILEVER N.V.		1.19		12/31/61		294,500		9,096,976		10,121,965
911312106	UNITED PARCEL SERV INC		0.00		12/31/61		43,900		3,124,577		3,213,041
92276F100	VENTAS, INC.		0.00		12/31/61		122,665		5,851,416		6,762,531
962166104	WEYERHAEUSER COMPANY		2.40		12/31/61		343,200		6,900,286		6,407,544
976657106	WISCONSIN ENERGY CORPORATION		0.80		12/31/61		220,700		6,645,066		7,715,672
98156Q108	WORLD WRESTLING ENTERTAINMENT		0.00		12/31/61		645,900		6,551,705		6,019,788
98389B100	XCEL ENERGY INC		0.00		12/31/61		203,200		4,701,849		5,616,448
G16962204	BUNGE LTD		0.00		12/31/61		31,600		2,764,364		2,915,416
G9319H102	VALIDUS HOLDINGS LTD		0.00		12/31/61		1,000		28,137		31,500
J2785A104	JAPAN LOGISTICS FD		0.00		12/31/61		302		2,491,462		2,618,066
S62435862	SINGAPORE AIRPORT TERMINAL SER		0.00		12/31/61		3,263,700		6,587,820		5,411,603
SB0D6P437	MAPLETREE LG TR		0.02		12/31/61		8,024,560		5,643,879		5,229,440
SB23WXW97	PARKWAY HOLDINGS LIMITED		0.00		12/31/61		2,100,000		3,108,806		2,899,009
SB296MJ50	LIPPO MAPLETREE INDONESIA RETA		0.00		12/31/61		6,756,000		2,715,875		1,823,622
SB29VF024	FRANCO NEVADA CORP		0.00		12/31/61		17,100		642,924		650,997
SB61JC671	TREASURY WINE ESTATES LTD.		0.00		12/31/61		1,916,366		6,735,739		7,229,943
SB67C8W83	CRESCENT POINT ENERGY CORP		0.00		12/31/61		900		35,000		39,686
SB67JFX97	BONAVISTA ENERGY TRUST		0.00		12/31/61		2,100		49,162		53,766
SBOTLGM70	GZI REAL ESTATE INVESTMENT TRU		0.00		12/31/61		5,333,000		2,404,445		2,355,238
Y0205X103	ASCENDAS REAL ESTATE INVESTMEN		0.03		12/31/61		3,631,000		5,581,253		5,124,536
Y82954101	SUNTEC REAL ESTATE INVESTMENT		0.00		12/31/61		7,123,000		8,121,454		5,905,391
Z915ER5V4	PUT OPTIONS: S&P 500		0.00		01/21/12		14,000		4,460,980		336,000
Total Equity Securities							48,268,294		356,370,468		367,482,756