Exhibit 99.3

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

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
U.S. Government Securities
9127956E6	UNITED STATES TREASURY		0.00		3/7/2013		29,600,000		29,583,203
9127957L9	UNITED STATES TREASURY		0.00		3/14/2013		58,000,000		57,964,156
912810DW5	UNITED STATES TREASURY		7.25		5/15/2016		310,000		386,182
912810EZ7	UNITED STATES TREASURY		6.63		2/15/2027		2,475,000		3,855,109
912828AP5	UNITED STATES TREASURY		4.00		11/15/2012		2,465,000		2,476,561
912828BA7	UNITED STATES TREASURY		3.63		5/15/2013		1,500,000		1,532,175
912828CA6	UNITED STATES TREASURY		4.00		2/15/2014		990,000		1,041,282
912828CT5	UNITED STATES TREASURY		4.25		8/15/2014		1,440,000		1,547,554
912828DM9	UNITED STATES TREASURY		4.00		2/15/2015		1,500,000		1,631,940
912828DV9	UNITED STATES TREASURY		4.13		5/15/2015		500,000		549,950
912828EE6	UNITED STATES TREASURY		4.25		8/15/2015		1,000,000		1,112,490
912828EW6	UNITED STATES TREASURY		4.50		2/15/2016		1,300,000		1,480,102
912828FY1	UNITED STATES TREASURY		4.63		11/15/2016		5,185,000		6,058,932
912828GX2	UNITED STATES TREASURY		2.63		7/15/2017		8,800,000		11,758,246
912828HH6	UNITED STATES TREASURY		4.25		11/15/2017		1,000,000		1,180,790
912828HT0	UNITED STATES TREASURY		2.75		2/28/2013		800,000		808,592
912828HV5	UNITED STATES TREASURY		2.50		3/31/2013		4,665,000		4,718,927
912828HY9	UNITED STATES TREASURY		3.13		4/30/2013		1,165,000		1,184,980
912828JK7	UNITED STATES TREASURY		3.13		8/31/2013		500,000		513,355
912828JQ4	UNITED STATES TREASURY		2.75		10/31/2013		1,500,000		1,541,220
912828JZ4	UNITED STATES TREASURY		1.75		1/31/2014		1,000,000		1,020,400
912828KN9	UNITED STATES TREASURY		1.88		4/30/2014		715,000		733,476
912828KY5	UNITED STATES TREASURY		2.63		6/30/2014		495,000		515,572
912828KZ2	UNITED STATES TREASURY		3.25		6/30/2016		500,000		552,635
912828LC2	UNITED STATES TREASURY		2.63		7/31/2014		14,035,000		14,645,521
912828LP3	UNITED STATES TREASURY		3.00		9/30/2016		500,000		550,200
912828LQ1	UNITED STATES TREASURY		2.38		9/30/2014		2,688,000		2,802,455
912828LS7	UNITED STATES TREASURY		2.38		10/31/2014		10,930,000		11,409,937
912828LZ1	UNITED STATES TREASURY		2.13		11/30/2014		1,000,000		1,040,200
912828ME7	UNITED STATES TREASURY		2.63		12/31/2014		1,000,000		1,053,260
912828MG2	UNITED STATES TREASURY		1.38		1/15/2013		5,000,000		5,017,950
912828MH0	UNITED STATES TREASURY		2.25		1/31/2015		1,000,000		1,045,940
912828MR8	UNITED STATES TREASURY		2.38		2/28/2015		10,065,000		10,572,377
912828NA4	UNITED STATES TREASURY		3.13		4/30/2017		1,000,000		1,115,820
912828NC0	UNITED STATES TREASURY		1.38		5/15/2013		64,600,000		65,084,500
912828NG1	UNITED STATES TREASURY		2.75		5/31/2017		1,000,000		1,100,670
912828NH9	UNITED STATES TREASURY		1.13		6/15/2013		45,000,000		45,296,550
912828NP1	UNITED STATES TREASURY		1.75		7/31/2015		1,000,000		1,040,610
912828NV8	UNITED STATES TREASURY		1.25		8/31/2015		1,200,000		1,232,712
912828NZ9	UNITED STATES TREASURY		1.25		9/30/2015		1,000,000		1,027,760
912828PD6	UNITED STATES TREASURY		0.38		10/31/2012		6,000,000		6,000,960
912828PJ3	UNITED STATES TREASURY		1.38		11/30/2015		1,000,000		1,032,380
912828PS3	UNITED STATES TREASURY		2.00		1/31/2016		20,000,000		21,090,199
912828PW4	UNITED STATES TREASURY		0.63		12/31/2012		20,000,000		20,022,600
912828QE3	UNITED STATES TREASURY		0.63		4/30/2013		12,900,000		12,934,314
912828QF0	UNITED STATES TREASURY		2.00		4/30/2016		25,500,000		26,951,717
912828QH6	UNITED STATES TREASURY		1.25		2/15/2014		1,000,000		1,014,070
912828QJ2	UNITED STATES TREASURY		2.13		2/29/2016		15,475,000		16,393,749
912828QL7	UNITED STATES TREASURY		0.75		3/31/2013		5,000,000		5,014,850
912828QP8	UNITED STATES TREASURY		1.75		5/31/2016		2,000,000		2,097,000
912828QQ6	UNITED STATES TREASURY		2.38		5/31/2018		5,000,000		5,444,550

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

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
912828QR4	UNITED STATES TREASURY		1.50		6/30/2016		1,000,000		1,039,940
912828QW3	UNITED STATES TREASURY		0.38		7/31/2013		66,000,000		66,113,520
912828QX1	UNITED STATES TREASURY		1.50		7/31/2016		4,175,000		4,342,710
912828QZ6	UNITED STATES TREASURY		0.50		5/31/2013		31,550,000		31,616,571
912828RA0	UNITED STATES TREASURY		0.38		6/30/2013		1,000,000		1,001,440
912828RB8	UNITED STATES TREASURY		0.50		8/15/2014		1,000,000		1,004,800
912828RF9	UNITED STATES TREASURY		1.00		8/31/2016		2,000,000		2,042,380
912828RJ1	UNITED STATES TREASURY		1.00		9/30/2016		20,300,000		20,729,952
912828RK8	UNITED STATES TREASURY		0.13		9/30/2013		20,000,000		19,986,200
912828RM4	UNITED STATES TREASURY		1.00		10/31/2016		2,950,000		3,012,097
912828RQ5	UNITED STATES TREASURY		0.38		11/15/2014		18,500,000		18,544,769
912828RS1	UNITED STATES TREASURY		0.25		11/30/2013		141,630,000		141,697,978
912828RV4	UNITED STATES TREASURY		0.25		12/15/2014		30,100,000		30,094,583
912828RX0	UNITED STATES TREASURY		0.88		12/31/2016		79,806,500		81,047,491
912828RZ5	UNITED STATES TREASURY		0.25		1/15/2015		1,000,000		999,720
912828SB7	UNITED STATES TREASURY		0.25		1/31/2014		1,000,000		1,000,480
912828SC5	UNITED STATES TREASURY		0.88		1/31/2017		1,000,000		1,015,310
912828SE1	UNITED STATES TREASURY		0.25		2/15/2015		1,000,000		999,380
912828SG6	UNITED STATES TREASURY		0.25		2/28/2014		1,000,000		1,000,490
912828SJ0	UNITED STATES TREASURY		0.88		2/28/2017		10,360,000		10,519,545
912828SK7	UNITED STATES TREASURY		0.38		3/15/2015		1,000,000		1,002,440
912828SL5	UNITED STATES TREASURY		0.25		3/31/2014		44,860,000		44,872,561
912828SM3	UNITED STATES TREASURY		1.00		3/31/2017		1,000,000		1,020,020
912828SP6	UNITED STATES TREASURY		0.38		4/15/2015		2,000,000		2,004,460
912828SQ4	UNITED STATES TREASURY		0.13		4/15/2017		23,690,000		25,732,861
912828SR2	UNITED STATES TREASURY		0.25		4/30/2014		79,379,000		79,398,846
912828SS0	UNITED STATES TREASURY		0.88		4/30/2017		61,500,000		62,370,226
912828SU5	UNITED STATES TREASURY		0.25		5/15/2015		1,000,000		998,970
912828SW1	UNITED STATES TREASURY		0.25		5/31/2014		1,000,000		1,000,280
912828SY7	UNITED STATES TREASURY		0.63		5/31/2017		1,000,000		1,002,550
912828SZ4	UNITED STATES TREASURY		0.38		6/15/2015		1,000,000		1,002,080
912828TA8	UNITED STATES TREASURY		0.25		6/30/2014		280,848,000		280,892,933
912828TB6	UNITED STATES TREASURY		0.75		6/30/2017		750,000		755,723
912828TC4	UNITED STATES TREASURY		1.00		6/30/2019		22,000,000		21,996,480
912828TD2	UNITED STATES TREASURY		0.25		7/15/2015		750,000		748,905
912828TF7	UNITED STATES TREASURY		0.13		7/31/2014		2,505,000		2,499,714
912828TG5	UNITED STATES TREASURY		0.50		7/31/2017		1,000,000		995,080
912828TH3	UNITED STATES TREASURY		0.88		7/31/2019		32,500,000		32,189,949
912828TJ9	UNITED STATES TREASURY		1.63		8/15/2022		43,300,000		43,249,340
912828TL4	UNITED STATES TREASURY		0.25		8/31/2014		750,000		750,135
912828TM2	UNITED STATES TREASURY		0.63		8/31/2017		26,200,000		26,215,457
912828TP5	UNITED STATES TREASURY		0.25		9/15/2015		600,000		598,944
912828TQ3	UNITED STATES TREASURY		0.25		9/30/2014		700,000		700,140
912828TS9	UNITED STATES TREASURY		0.63		9/30/2017		2,000,000		1,999,460
							1,469,001,500		1,487,587,590
U.S. Government Agencies
3128X23A1	FHLMC		4.50		4/2/2014		250,000		265,863
31331KHW3	FEDERAL FARM CREDIT BANK		1.63		11/19/2014		750,000		771,315
313375RN9	FEDERAL HOME LOAN BANKS		1.00		3/11/2016		2,000,000		2,032,040
3133762C8	FEDERAL HOME LOAN BANKS		0.38		11/27/2013		2,000,000		2,002,580
3133802C0	FEDERAL HOME LOAN BANKS		1.05		7/26/2017		50,000		49,998
313380AG2	FEDERAL HOME LOAN BANKS		0.60		8/6/2015		25,926		25,941
313380AP2	FEDERAL HOME LOAN BANKS		0.40		11/14/2014		125,000		125,009

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

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
313380AV9	FEDERAL HOME LOAN BANKS		0.45		2/13/2015		100,000		99,996
313380LK1	FEDERAL HOME LOAN BANKS		0.40		8/28/2014		150,000		149,979
3133EAA24	FEDERAL FARM CREDIT BANK		0.73		7/26/2016		100,000		100,015
3133EAZF8	FEDERAL FARM CREDIT BANK		0.63		3/23/2016		100,000		99,986
3133EAZU5	FEDERAL FARM CREDIT BANK		0.45		4/24/2015		100,000		99,975
3133XVEM9	FEDERAL HOME LOAN BANKS		1.63		11/21/2012		1,500,000		1,503,090
3133XVNU1	FEDERAL HOME LOAN BANKS		2.75		12/12/2014		74,500,000		78,400,076
3134G3NC0	FHLMC		0.55		2/27/2015		2,800,000		2,803,472
3134G3PD6	FHLMC		0.55		2/27/2015		250,000		251,020
3134G3YZ7	FHLMC		1.10		7/25/2017		50,000		50,086
3134G3ZH6	FHLMC		1.00		7/25/2017		75,000		75,332
3135G0BR3	FNMA		0.50		8/9/2013		4,750,000		4,761,875
3135G0BY8	FNMA		0.88		8/28/2014		4,750,000		4,803,247
3135G0CL5	FNMA		0.34		5/17/2013		50,000,000		50,030,269
3135G0CM3	FNMA		1.25		9/28/2016		10,000,000		10,269,199
3135G0ES8	FNMA		1.38		11/15/2016		1,000,000		1,032,010
3135G0GH0	FNMA		0.90		12/5/2014		250,000		250,283
3135G0GY3	FNMA		1.25		1/30/2017		8,000,000		8,210,560
3135G0HG1	FNMA		0.38		3/16/2015		2,000,000		2,002,320
3135G0KU6	FNMA		0.80		11/23/2015		9,700,000		9,709,409
3135G0MB6	FNMA		0.75		12/28/2015		200,000		200,172
3135G0NB5	FNMA		0.54		8/7/2015		150,000		150,021
3135G0NJ8	FEDERAL NATIONAL MORTGAGE ASSO		0.60		2/22/2016		100,000		99,990
3135G0NU3	FNMA		0.70		2/22/2016		150,000		149,985
3135G0PE7	FNMA		0.38		3/25/2015		150,000		149,957
3136A77K2	FNMA		2.71		9/25/2022		1,200,000		1,262,813
3136G0M73	FNMA		1.13		10/3/2018		8,000,000		8,026,160
3137EAAJ8	FHLMC		5.13		10/18/2016		250,000		295,645
3137EACR8	FHLMC		1.38		2/25/2014		1,000,000		1,015,810
3137EACW7	FHLMC		2.00		8/25/2016		50,000,000		52,796,002
3137EACX5	FHLMC AGENCY		0.38		10/30/2013		4,000,000		4,006,120
3137EADA4	FHLMC		0.63		12/29/2014		1,000,000		1,006,930
3137EADC0	FHLMC		1.00		3/8/2017		92,000,000		93,391,041
3137EADD8	FHLMC		0.50		4/17/2015		17,975,000		18,047,260
3137EADF3	FHLMC		1.25		5/12/2017		6,000,000		6,148,861
3137EADL0	FHLMC		1.00		9/29/2017		200,000		202,132
31398A4M1	FNMA		1.63		10/26/2015		21,500,000		22,298,941
31398A6F4	FNMA		0.38		12/28/2012		1,500,000		1,500,810
31398AU34	FNMA		2.38		7/28/2015		250,000		264,163
							381,000,926		390,987,754
Non U.S. Government Securities & Agencies
013051DA2	ALBERTA PROVINCE OF		2.75		12/1/2014		950,000		997,551
038461AC3	AID-EGYPT		4.45		9/15/2015		25,000,000		27,962,663
135087YN8	CANADA GOVERNMENT		3.50		6/1/2013		7,850,000		8,107,866
135087YS7	CANADA GOVERNMENT		3.00		6/1/2014		2,015,000		2,113,337
135087YU2	CANADA GOVERNMENT		2.00		12/1/2014		8,860,000		9,180,862
135087ZC1	CANADA GOVERNMENT		2.50		6/1/2015		2,500,000		2,634,274
135087ZF4	CANADA GOVERNMENT		3.00		12/1/2015		1,100,000		1,181,459
135087ZG2	CANADA GOVERNMENT		2.50		9/1/2013		1,700,000		1,750,357
135087ZN7	CANADA GOVERNMENT		2.00		3/1/2014		400,000		411,903
135087ZP2	CANADA GOVERNMENT		2.00		8/1/2013		1,250,000		1,280,349
135087ZQ0	CANADA GOVERNMENT		2.75		9/1/2016		5,450,000		5,857,363
135087ZR8	CANADA GOVERNMENT		2.25		8/1/2014		5,200,000		5,398,785

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

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
135087ZT4	CANADA GOVERNMENT		1.50		11/1/2013		650,000		663,815
135087ZV9	CANADA GOVERNMENT		1.50		3/1/2017		4,400,000		4,516,601
135087ZX5	CANADA GOVERNMENT		1.00		2/1/2015		3,000,000		3,042,512
13509PCS0	CANADA HOUSING TRUST		3.80		6/15/2021		19,600,000		22,641,731
282645AQ3	EKSPORTFINANS ASA		5.50		5/25/2016		200,000		205,095
28264QGC2	EKSPORTFINANS ASA		5.50		6/26/2017		3,500,000		3,593,545
28264QR63	EKSPORTFINANS A/S		3.00		11/17/2014		2,000,000		1,963,950
28264QU93	EKSPORTFINANS		0.66		4/5/2013		1,300,000		1,284,238
302154AU3	EXPORT-IMPORT BANK OF KOREA		5.88		1/14/2015		5,600,000		6,154,792
50048MAT7	KOMMUNALBANKEN AS		1.00		9/26/2017		4,600,000		4,601,058
500769BM5	KREDITANSTALT FUER WIDERAUFBAU		4.38		2/9/2016		900,000		989,198
563469EU5	MANITOBA PROVINCE		5.25		12/3/2012		900,000		920,964
642866FT9	NEW BRUNSWICK PROVINCE OF		4.50		2/4/2015		900,000		980,982
683234WM6	ONTARIO PROVINCE		4.50		3/8/2015		900,000		983,400
68323AAW4	ONTARIO PROVINCE		3.15		6/2/2022		12,400,000		13,116,898
68323ABJ2	ONTARIO PROVINCE		0.95		5/26/2015		9,700,000		9,816,400
748148RK1	QUEBEC PROVINCE OF		5.25		10/1/2013		850,000		898,873
803854JF6	SASKATCHEWAN PROVINCE		5.25		6/3/2014		900,000		976,047
D20658J64	DEUTSCHE BUNDESREPUBLIK		3.50		1/4/2016		19,300,000		27,548,522
D4085B7F2	KREDITANSTALT FUER WIDERAUFBAU		2.50		5/28/2013		42,000,000		42,609,137
G924507Q5	UNITED KINGDOM GILT		2.75		1/22/2015		6,950,000		11,874,908
G92451GE0	UNITED KINGDOM GILT		1.75		1/22/2017		8,290,000		14,070,752
H7351MFG3	SWITZERLAND (CONFEDERATION OF)		4.25		6/5/2017		1,850,000		2,357,677
H7351PL38	SWITZERLAND (CONFEDERATION OF)		2.00		10/12/2016		1,850,000		2,130,315
H7351PL46	SWITZERLAND (CONFEDERATION OF)		2.00		11/9/2014		1,850,000		2,057,283
H7351PMW3	SWITZERLAND (CONFEDERATION OF)		4.00		2/11/2013		1,850,000		1,995,731
H7351PRV0	SWITZERLAND (CONFEDERATION OF)		3.75		6/10/2015		1,850,000		2,178,347
J1348FAB1	EKSPORTFINANS ASA		0.89		6/16/2015		100,000,000		1,121,479
P9767GT92	UNITED MEXICAN STATES		9.00		6/20/2013		1,148,141		9,208,703
Q0819ACW8	AUSTRALIA COMMONWEALTH OF		5.75		5/15/2021		26,500,000		33,679,766
Q2694KDZ4	GOVT OF AUSTRALIA		5.25		3/15/2019		4,000,000		4,792,816
S69124FF7	REPUBLIC OF SOUTH AFRICA		10.50		12/21/2026		61,910,000		9,619,165
							413,923,141		309,471,470
State and Municipal
4521518T3	ILLINOIS ST		3.32		1/1/2013		10,000,000		10,069,800
4521518V8	ILLINOIS ST		4.42		1/1/2015		10,998,000		11,636,545
463655GW4	IRVINE RANCH CALIF WTR DIST JT		2.61		3/15/2014		3,500,000		3,608,360
64966B3L5	NEW YORK NY		1.55		1/15/2016		5,250,000		5,258,453
64971M5E8	NEW YORK NY CITY TRANSITIONAL		4.08		11/1/2020		3,000,000		3,311,760
74526QZL9	PUERTO RICO ELEC PWR AUTH		5.00		7/1/2020		2,000,000		2,188,700
83714RBA0	SOUTH CAROLINA STUDENT LN		0.51		12/2/2019		4,031,859		4,000,491
98458PAB1	YALE UNIVERSITY		2.90		10/15/2014		1,400,000		1,468,365
							40,179,859		41,542,473
Agency MBS
01F0224A0	FNMA		2.50		10/1/2027		6,000,000		6,307,500
01F0224B8	FNMA		2.50		11/1/2027		9,000,000		9,440,859
01F0306A1	FNMA		3.00		10/1/2042		9,000,000		9,502,031
01F0326B5	FNMA		3.50		11/1/2040		32,000,000		34,238,750
01F0406A0	FNMA		4.00		10/1/2039		44,000,000		47,410,000
01F0406B8	FNMA		4.00		11/1/2040		23,000,000		24,756,445
01F0426A6	FNMA		4.50		10/1/2037		3,000,000		3,246,563
01F0426B4	FNMA		4.50		11/10/2030		10,000,000		10,816,406
01F050692	FNMA TBA		5.00		9/1/2034		2,000,000		2,181,250

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

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
01F0506A9	FNMA TBA		5.00		10/1/2034		-54,000,000		-58,893,750
01F0506B7	FNMA TBA		5.00		11/1/2034		87,000,000		94,840,195
01F0606B6	FNMA TBA		6.00		11/1/2034		25,000,000		27,611,328
01N0506A0	GNMA		5.00		10/1/2034		2,000,000		2,205,000
01N0526A6	GNMA		5.50		10/1/2034		750,000		833,555
02R0326A2	FHLMC GOLD		3.50		10/1/2041		3,100,000		3,324,145
02R0406A5	FHLMC GOLD		4.00		10/1/2040		8,425,000		9,057,204
31283HVE2	FHLMC GOLD		6.00		3/1/2033		12,913		14,386
31283HWZ4	FHLMC GOLD		6.00		4/1/2033		8,887		9,901
31283K4C9	FHLMC GOLD		5.00		6/1/2020		5,281,077		5,740,801
31283KJU3	FHLMC GOLD		6.50		12/1/2014		205,340		222,922
31283KN87	FHLMC GOLD		5.00		9/1/2017		1,446		1,564
3128GNW87	FHLMC GOLD		5.00		11/1/2016		2,071		2,232
3128GNY77	FHLMC GOLD		5.00		11/1/2016		9,300		10,101
3128GP3U5	FHLMC GOLD		5.00		1/1/2017		1,698		1,830
3128GP3V3	FHLMC GOLD		5.00		1/1/2017		9,076		9,858
3128GP4U4	FHLMC GOLD		5.00		1/1/2017		3,201		3,449
3128GP7M9	FHLMC GOLD		5.00		1/1/2017		1,085		1,174
3128GPSA2	FHLMC GOLD		5.00		12/1/2016		1,801		1,941
3128GQ3Q2	FHLMC GOLD		5.00		2/1/2017		3,128		3,384
3128GQ6E6	FHLMC GOLD		5.00		2/1/2017		3,169		3,436
3128GQGA3	FHLMC GOLD		5.00		1/1/2017		4,069		4,419
3128GQJT9	FHLMC GOLD		5.00		1/1/2017		3,468		3,737
3128GQK26	FHLMC GOLD		5.00		1/1/2017		6,254		6,780
3128GQK34	FHLMC GOLD		5.00		1/1/2017		1,314		1,416
3128GQKB6	FHLMC GOLD		5.00		1/1/2017		2,025		2,182
3128GQP54	FHLMC GOLD		5.00		1/1/2017		4,947		5,353
3128GQQQ7	FHLMC GOLD		5.00		2/1/2017		3,570		3,847
3128GQQZ7	FHLMC GOLD		5.00		2/1/2017		8,051		8,727
3128GQSG7	FHLMC GOLD		5.00		2/1/2017		2,011		2,176
3128GQU58	FHLMC GOLD		5.00		2/1/2017		4,269		4,628
3128GQU90	FHLMC GOLD		5.00		2/1/2017		1,095		1,185
3128GQVB4	FHLMC GOLD		5.00		2/1/2017		2,392		2,578
3128GQW31	FHLMC GOLD		5.00		2/1/2017		5,459		5,917
3128GQW49	FHLMC GOLD		5.00		2/1/2017		9,959		10,797
3128GR3Y3	FHLMC GOLD		5.00		2/1/2017		7,465		8,093
3128GR6N4	FHLMC GOLD		5.00		4/1/2017		11,545		12,515
3128GRBH1	FHLMC GOLD		5.00		2/1/2017		3,976		4,302
3128GRFT1	FHLMC GOLD		5.00		3/1/2017		6,407		6,946
3128GRJD2	FHLMC GOLD		5.00		3/1/2017		1,949		2,113
3128GRK81	FHLMC GOLD		5.00		3/1/2017		941		1,020
3128GRLA5	FHLMC GOLD		5.00		3/1/2017		10,275		11,138
3128GRM71	FHLMC GOLD		5.00		3/1/2017		1,915		2,072
3128GRP94	FHLMC GOLD		5.00		3/1/2017		947		1,020
3128GRQA0	FHLMC GOLD		5.00		3/1/2017		3,419		3,699
3128GRSP5	FHLMC GOLD		5.00		3/1/2017		3,407		3,671
3128GRSY6	FHLMC GOLD		5.00		3/1/2017		4,772		5,174
3128GRUF4	FHLMC GOLD		5.00		3/1/2017		954		1,032
3128GRUT4	FHLMC GOLD		5.00		3/1/2017		5,188		5,591
3128GRWQ8	FHLMC GOLD		5.00		2/1/2017		386		416
3128GRYD5	FHLMC GOLD		5.00		4/1/2017		2,306		2,495
3128GS5Y9	FHLMC GOLD		5.00		4/1/2017		4,407		4,768
3128GSDJ3	FHLMC GOLD		5.00		4/1/2017		6,508		7,055

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

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
3128GSGB7	FHLMC GOLD		5.00		4/1/2017		6,943		7,527
3128GSGU5	FHLMC GOLD		5.00		4/1/2017		14,324		15,529
3128GSKE6	FHLMC GOLD		5.00		4/1/2017		10,577		11,466
3128GSKV8	FHLMC GOLD		5.00		4/1/2017		4,881		5,282
3128GSLX3	FHLMC GOLD		5.00		4/1/2017		2,966		3,209
3128GSLY1	FHLMC GOLD		5.00		4/1/2017		6,865		7,442
3128GSNL7	FHLMC GOLD		5.00		4/1/2017		2,696		2,917
3128GSQN0	FHLMC GOLD		5.00		4/1/2017		5,054		5,447
3128GSSN8	FHLMC GOLD		5.00		4/1/2017		11,523		12,492
3128GV2N9	FHLMC GOLD		5.00		10/1/2017		18,615		20,180
3128GV3C2	FHLMC GOLD		5.00		10/1/2017		8,390		9,095
3128GV3D0	FHLMC GOLD		5.00		10/1/2017		16,217		17,580
3128GV3Z1	FHLMC GOLD		5.00		10/1/2017		19,072		20,675
3128GV7G9	FHLMC GOLD		5.00		10/1/2017		3,758		4,066
3128GVBY5	FHLMC GOLD		5.00		8/1/2017		943		1,023
3128GVH94	FHLMC GOLD		5.00		9/1/2017		2,136		2,312
3128GVJA9	FHLMC GOLD		5.00		9/1/2017		7,529		8,161
3128GVJB7	FHLMC GOLD		5.00		9/1/2017		5,297		5,732
3128GVJQ4	FHLMC GOLD		5.00		9/1/2017		8,919		9,669
3128GVLF5	FHLMC GOLD		5.00		9/1/2017		4,377		4,717
3128GVLH1	FHLMC GOLD		5.00		9/1/2017		6,272		6,799
3128GVLJ7	FHLMC GOLD		5.00		9/1/2017		11,120		12,054
3128GVMM9	FHLMC GOLD		5.00		8/1/2017		873		945
3128GVNL0	FHLMC GOLD		5.00		9/1/2017		4,958		5,365
3128GVNM8	FHLMC GOLD		5.00		9/1/2017		5,731		6,213
3128GVNN6	FHLMC GOLD		5.00		9/1/2017		7,979		8,663
3128GVNV8	FHLMC GOLD		5.00		9/1/2017		2,414		2,612
3128GVNX4	FHLMC GOLD		5.00		9/1/2017		40,110		43,482
3128GVPM6	FHLMC GOLD		5.00		9/1/2017		4,345		4,710
3128GVPN4	FHLMC GOLD		5.00		9/1/2017		3,958		4,283
3128GVPP9	FHLMC GOLD		5.00		9/1/2017		10,100		10,949
3128GVQH6	FHLMC GOLD		5.00		9/1/2017		9,975		10,814
3128GVRA0	FHLMC GOLD		5.00		9/1/2017		3,157		3,416
3128GVRC6	FHLMC GOLD		5.00		9/1/2017		6,353		6,887
3128GVRE2	FHLMC GOLD		5.00		9/1/2017		5,990		6,482
3128GVRS1	FHLMC GOLD		5.00		9/1/2017		2,826		3,058
3128GVRT9	FHLMC GOLD		5.00		9/1/2017		8,207		8,897
3128GVRY8	FHLMC GOLD		5.00		9/1/2017		39,315		42,620
3128GVT83	FHLMC GOLD		5.00		9/1/2017		13,519		14,656
3128GVTN0	FHLMC GOLD		5.00		9/1/2017		5,086		5,503
3128GVTW0	FHLMC GOLD		5.00		9/1/2017		8,887		9,634
3128GVUD0	FHLMC GOLD		5.00		9/1/2017		1,191		1,288
3128GVUE8	FHLMC GOLD		5.00		9/1/2017		7,271		7,882
3128GVUX6	FHLMC GOLD		5.00		10/1/2017		2,968		3,211
3128GVVE7	FHLMC GOLD		5.00		10/1/2017		19,164		20,775
3128GVVF4	FHLMC GOLD		5.00		10/1/2017		9,302		10,084
3128GVVJ6	FHLMC GOLD		5.00		10/1/2017		15,886		17,222
3128GVVY3	FHLMC GOLD		5.00		10/1/2017		8,229		8,920
3128GVW22	FHLMC GOLD		5.00		9/1/2017		2,695		2,922
3128GVW89	FHLMC GOLD		5.00		10/1/2017		4,539		4,911
3128GVZV5	FHLMC GOLD		5.00		10/1/2017		11,100		12,033
3128GW5Q7	FHLMC GOLD		5.00		11/1/2017		7,523		8,140
3128GW6G8	FHLMC GOLD		5.00		11/1/2017		4,372		4,740

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

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
3128GWAQ1	FHLMC GOLD		5.00		10/1/2017		1,866		2,011
3128GWAT5	FHLMC GOLD		5.00		10/1/2017		15,437		16,735
3128GWAU2	FHLMC GOLD		5.00		10/1/2017		17,655		19,139
3128GWB49	FHLMC GOLD		5.00		10/1/2017		1,621		1,757
3128GWB80	FHLMC GOLD		5.00		10/1/2017		9,713		10,530
3128GWBH0	FHLMC GOLD		5.00		10/1/2017		13,004		14,097
3128GWC89	FHLMC GOLD		5.00		10/1/2017		5,539		6,005
3128GWCL0	FHLMC GOLD		5.00		10/1/2017		9,761		10,582
3128GWCW6	FHLMC GOLD		5.00		10/1/2017		3,619		3,924
3128GWDP0	FHLMC GOLD		5.00		10/1/2017		6,395		6,933
3128GWEG9	FHLMC GOLD		5.00		10/1/2017		23,754		25,751
3128GWEK0	FHLMC GOLD		5.00		10/1/2017		6,622		7,165
3128GWEP9	FHLMC GOLD		5.00		10/1/2017		2,701		2,923
3128GWF86	FHLMC GOLD		5.00		10/1/2017		7,064		7,658
3128GWFN3	FHLMC GOLD		5.00		10/1/2017		7,187		7,777
3128GWHH4	FHLMC GOLD		5.00		10/1/2017		6,016		6,522
3128GWJG4	FHLMC GOLD		5.00		11/1/2017		16,246		17,612
3128GWK31	FHLMC GOLD		5.00		10/1/2017		8,707		9,439
3128GWK56	FHLMC GOLD		5.00		11/1/2017		8,576		9,296
3128GWMS4	FHLMC GOLD		5.00		11/1/2017		4,730		5,119
3128GWP85	FHLMC GOLD		5.00		11/1/2017		4,865		5,264
3128GWQ27	FHLMC GOLD		5.00		11/1/2017		11,116		12,051
3128GWQ92	FHLMC GOLD		5.00		11/1/2017		8,991		9,747
3128GWQN1	FHLMC GOLD		5.00		11/1/2017		8,437		9,147
3128GWQY7	FHLMC GOLD		5.00		11/1/2017		3,801		4,113
3128GWR42	FHLMC GOLD		5.00		11/1/2017		11,181		12,121
3128GWRF7	FHLMC GOLD		5.00		11/1/2017		5,984		6,487
3128GWV21	FHLMC GOLD		5.00		11/1/2017		11,015		11,941
3128GWVL9	FHLMC GOLD		5.00		11/1/2017		1,513		1,640
3128GWWM6	FHLMC GOLD		5.00		11/1/2017		1,512		1,639
3128GWXD5	FHLMC GOLD		5.00		11/1/2017		5,456		5,904
3128GWXW3	FHLMC GOLD		5.00		11/1/2017		9,498		10,296
3128GWYS1	FHLMC GOLD		5.00		11/1/2017		1,352		1,465
3128GWZQ4	FHLMC GOLD		5.00		11/1/2017		6,827		7,401
3128GX3H7	FHLMC GOLD		5.00		12/1/2017		9,800		10,624
3128GX5V4	FHLMC		5.00		12/1/2017		12,658		13,722
3128GXAX4	FHLMC GOLD		5.00		11/1/2017		20,390		22,104
3128GXBC9	FHLMC GOLD		5.00		11/1/2017		3,358		3,633
3128GXEA0	FHLMC GOLD		5.00		12/1/2017		7,857		8,517
3128GXEK8	FHLMC GOLD		5.00		12/1/2017		3,905		4,233
3128GXFT8	FHLMC GOLD		5.00		12/1/2017		10,498		11,381
3128GXHA7	FHLMC GOLD		5.00		12/1/2017		14,655		15,887
3128GXHQ2	FHLMC GOLD		5.00		12/1/2017		15,677		16,995
3128GXN36	FHLMC GOLD		5.00		12/1/2017		12,056		13,069
3128GY2H6	FHLMC GOLD		5.00		2/1/2018		9,982		10,843
3128GYF66	FHLMC GOLD		5.00		1/1/2018		2,998		3,244
3128GYG73	FHLMC GOLD		5.00		1/1/2018		12,023		13,059
3128GYKK9	FHLMC GOLD		5.00		1/1/2018		2,020		2,194
3128GYLX0	FHLMC GOLD		5.00		1/1/2018		1,126		1,218
3128GYNT7	FHLMC GOLD		5.00		2/1/2018		1,160		1,255
3128GYQC1	FHLMC GOLD		5.00		2/1/2018		11,164		12,126
3128GYS88	FHLMC GOLD		5.00		2/1/2018		1,587		1,717
3128GYTW4	FHLMC GOLD		5.00		2/1/2018		1,576		1,706

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

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
3128GYU44	FHLMC GOLD		5.00		2/1/2018		9,310		10,112
3128GYU51	FHLMC GOLD		5.00		2/1/2018		8,429		9,155
3128GYV35	FHLMC GOLD		5.00		2/1/2018		13,611		14,783
3128GYVB7	FHLMC GOLD		5.50		2/1/2018		41,896		45,353
3128GYVZ4	FHLMC GOLD		5.00		2/1/2018		11,115		12,073
3128GYZE7	FHLMC GOLD		5.00		2/1/2018		5,924		6,434
3128H22V4	FHLMC GOLD		5.00		4/1/2018		5,622		6,106
3128H25K5	FHLMC GOLD		5.00		4/1/2018		1,975		2,137
3128H26F5	FHLMC GOLD		5.00		3/1/2018		178		194
3128H26M0	FHLMC GOLD		5.50		3/1/2018		643,488		696,587
3128H26W8	FHLMC GOLD		5.50		2/1/2018		295,745		320,148
3128H27K3	FHLMC GOLD		5.00		4/1/2018		3,095		3,349
3128H2B69	FHLMC GOLD		5.00		2/1/2018		15,515		16,852
3128H2B77	FHLMC GOLD		5.00		2/1/2018		13,813		15,003
3128H2B85	FHLMC GOLD		5.00		2/1/2018		11,467		12,455
3128H2C84	FHLMC GOLD		5.00		2/1/2018		2,715		2,937
3128H2E41	FHLMC GOLD		5.00		3/1/2018		16,721		18,162
3128H2ED1	FHLMC GOLD		5.00		2/1/2018		26,678		28,977
3128H2EG4	FHLMC GOLD		5.00		2/1/2018		16,357		17,766
3128H2LV3	FHLMC GOLD		5.00		2/1/2018		12,567		13,649
3128H2LY7	FHLMC GOLD		5.00		3/1/2018		6,516		7,078
3128H2QV8	FHLMC GOLD		5.00		3/1/2018		16,991		18,455
3128H2T86	FHLMC GOLD		5.00		3/1/2018		1,850		2,010
3128H2TF0	FHLMC GOLD		5.00		3/1/2018		17,172		18,652
3128H2TJ2	FHLMC GOLD		5.00		3/1/2018		4,116		4,454
3128H2TW3	FHLMC GOLD		5.00		3/1/2018		13,994		15,199
3128H2VW0	FHLMC GOLD		5.00		3/1/2018		18,418		20,005
3128H2YM9	FHLMC GOLD		5.00		3/1/2018		4,281		4,632
3128H2YN7	FHLMC GOLD		5.00		3/1/2018		5,538		5,993
3128H2YS6	FHLMC GOLD		5.00		3/1/2018		6,709		7,260
3128H2ZJ5	FHLMC GOLD		5.00		3/1/2018		5,143		5,565
3128H2ZT3	FHLMC GOLD		5.00		4/1/2018		6,405		6,931
3128H2ZU0	FHLMC GOLD		5.00		4/1/2018		12,087		13,128
3128H32W0	FHLMC GOLD		5.00		4/1/2018		8,447		9,157
3128H3C25	FHLMC GOLD		5.00		4/1/2018		2,021		2,187
3128H3CD1	FHLMC GOLD		5.00		4/1/2018		3,479		3,778
3128H3FG1	FHLMC GOLD		5.00		4/1/2018		10,814		11,746
3128H3KN0	FHLMC GOLD		5.00		4/1/2018		45		49
3128H3MN8	FHLMC GOLD		5.00		4/1/2018		18,785		20,404
3128H3N72	FHLMC GOLD		5.00		4/1/2018		4,448		4,813
3128H3RY9	FHLMC GOLD		5.00		5/1/2018		17,883		19,424
3128H3S36	FHLMC GOLD		5.00		4/1/2018		6,417		6,970
3128H3SZ5	FHLMC GOLD		5.00		5/1/2018		9,671		10,505
3128H3V65	FHLMC GOLD		5.00		5/1/2018		3,565		3,858
3128H3WF4	FHLMC GOLD		5.00		4/1/2018		7,156		7,773
3128H3XU0	FHLMC GOLD		5.00		5/1/2018		8,024		8,683
3128H45V7	FHLMC GOLD		5.00		6/1/2018		10,935		11,877
3128H4J59	FHLMC GOLD		5.00		6/1/2018		7,901		8,582
3128H4JG5	FHLMC GOLD		5.00		5/1/2018		8,951		9,685
3128H4JT7	FHLMC GOLD		5.00		6/1/2018		17,763		19,293
3128H5JX5	FHLMC GOLD		5.00		7/1/2018		14,103		15,318
3128H5RP3	FHLMC GOLD		5.00		7/1/2018		7,578		8,200
3128H5TK2	FHLMC GOLD		5.00		7/1/2018		20,004		21,728

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

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
3128H6BG8	FHLMC GOLD		5.00		7/1/2018		16,933		18,392
3128H6CZ5	FHLMC GOLD		5.00		7/1/2018		14,645		15,906
3128H6FR0	FHLMC GOLD		5.00		8/1/2018		12,015		13,050
3128H6FU3	FHLMC GOLD		5.00		8/1/2018		9,485		10,264
3128H6WU4	FHLMC GOLD		5.50		8/1/2018		199,914		217,005
3128H6XM1	FHLMC GOLD		5.00		8/1/2018		3,580		3,889
3128H6ZC1	FHLMC GOLD		5.50		7/1/2018		58,231		63,209
3128H77K2	FHLMC GOLD		5.50		10/1/2018		157,222		170,663
3128JLDM8	FHLMC		2.84		9/1/2033		201,010		213,965
3128JLEY1	FHLMC		2.76		9/1/2033		339,118		372,502
3128JLHB8	FHLMC		2.66		9/1/2033		60,047		64,360
3128JMW45	FHLMC		2.65		11/1/2034		81,521		87,926
3128JMY68	FHLMC		2.75		11/1/2034		102,867		111,849
3128JMZG5	FHLMC		2.69		11/1/2034		148,640		160,168
3128JNAL9	FHLMC		2.86		2/1/2035		159,826		172,315
3128JRP26	FHLMC		2.58		12/1/2033		1,703,674		1,825,869
3128K17K1	FHLMC GOLD		5.00		1/1/2036		3,711,863		4,040,808
3128K9KT0	FHLMC GOLD		5.50		3/1/2036		117,843		128,119
3128KA4Z1	FHLMC GOLD		6.00		6/1/2036		60,187		66,258
3128KALC3	FHLMC GOLD		6.00		6/1/2036		6,683		7,327
3128KE5H2	FHLMC GOLD		6.50		9/1/2036		116,375		130,015
3128KJ6T4	FHLMC GOLD		6.00		1/1/2037		298,001		326,737
3128KLMJ3	FHLMC GOLD		5.50		2/1/2037		881,919		958,979
3128KQUK0	FHLMC GOLD		5.50		5/1/2037		110,807		120,489
3128KU3J4	FHLMC GOLD		6.00		8/1/2037		350,354		384,592
3128KULK1	FHLMC GOLD		6.00		7/1/2037		8,307		9,109
3128KVAR6	FHLMC GOLD		6.50		8/1/2037		110,809		126,341
3128KWBZ5	FHLMC GOLD		6.00		9/1/2037		11,040		12,426
3128KWFX6	FHLMC GOLD		6.00		9/1/2037		27,389		30,828
3128KWFY4	FHLMC GOLD		6.00		9/1/2037		34,065		38,341
3128KWH30	FHLMC GOLD		6.00		9/1/2037		57,355		62,899
3128KWMW0	FHLMC GOLD		6.00		9/1/2037		544,882		599,494
3128KWT29	FHLMC GOLD		6.00		9/1/2037		22,923		25,801
3128KWT78	FHLMC GOLD		6.00		9/1/2037		88,185		96,803
3128KWTK9	FHLMC GOLD		6.00		9/1/2037		31,042		34,939
3128KWTP8	FHLMC GOLD		6.00		9/1/2037		29,538		33,247
3128KWTZ6	FHLMC GOLD		6.00		9/1/2037		23,842		26,835
3128KYXE4	FHLMC GOLD		6.00		4/1/2037		16,338		18,389
3128L0SP8	FHLMC GOLD		6.00		11/1/2037		11,205		12,328
3128L0SR4	FHLMC GOLD		6.00		11/1/2037		325,405		358,934
3128L1WN6	FHLMC GOLD		5.50		12/1/2037		379,730		412,910
3128L1WP1	FHLMC GOLD		6.00		12/1/2037		73,610		80,724
3128LAFP0	FHLMC GOLD		6.00		4/1/2038		2,442,537		2,678,943
3128LXUJ7	FHLMC GOLD		6.00		11/1/2036		306,877		336,469
3128M4GD9	FHLMC GOLD		6.00		1/1/2037		92,685		101,623
3128M4XA6	FHLMC GOLD		5.50		7/1/2037		2,412,557		2,656,696
3128M4YR8	FHLMC GOLD		6.00		8/1/2037		233,388		255,945
3128M4ZG1	FHLMC GOLD		6.00		7/1/2037		2,902		3,267
3128M5DQ0	FHLMC GOLD		5.50		10/1/2037		132,042		143,579
3128M5GA2	FHLMC GOLD		6.00		10/1/2037		797,419		874,489
3128M5J27	FHLMC GOLD		6.00		11/1/2037		415,830		456,020
3128M5NP1	FHLMC GOLD		6.00		12/1/2037		5,391		5,912
3128M5R93	FHLMC GOLD		5.50		2/1/2038		51,883		56,416

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

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
3128M5RA0	FHLMC GOLD		6.00		1/1/2038		30,177		33,094
3128M6AV0	FHLMC GOLD		5.50		3/1/2038		115,360		125,439
3128M6SA7	FHLMC GOLD		6.00		10/1/2038		925,022		1,014,552
3128M6UB2	FHLMC GOLD		6.00		7/1/2038		69,940		78,720
3128M6ZQ4	FHLMC GOLD		5.00		11/1/2038		432,178		467,202
3128M73M6	FHLMC GOLD		5.00		9/1/2039		386,870		418,046
3128M7AZ9	FHLMC GOLD		6.00		12/1/2038		192,729		216,924
3128M7CE4	FHLMC GOLD		5.00		1/1/2039		56,998		61,591
3128M7E28	FHLMC GOLD		5.00		2/1/2039		6,190,457		6,689,312
3128M7PN0	FHLMC GOLD		5.00		7/1/2039		882,742		987,533
3128M83K8	FHLMC GOLD		4.50		10/1/2041		23,190,526		24,891,056
3128M83X0	FHLMC GOLD		4.00		1/1/2041		75,769		81,395
3128M8AV6	FHLMC GOLD		5.50		12/1/2039		7,933,864		8,627,045
3128M8TX2	FHLMC GOLD		6.00		1/1/2038		2,420,921		2,654,368
3128M8VG6	FHLMC GOLD		4.00		6/1/2041		4,870,654		5,387,703
3128M9BP6	FHLMC GOLD		5.50		6/1/2041		4,118,078		4,477,874
3128M9CM2	FHLMC GOLD		4.00		3/1/2042		964,200		1,042,493
3128MCUW3	FHLMC GOLD		4.00		12/1/2025		6,277,603		6,666,654
3128MJH94	FHLMC GOLD		5.00		3/1/2038		3,038,531		3,283,389
3128MJP95	FHLMC GOLD		4.50		5/1/2041		2,006,282		2,161,237
3128MJQD5	FHLMC GOLD		4.50		6/1/2041		1,370,591		1,476,448
3128MMAC7	FHLMC GOLD		5.00		7/1/2019		450,518		489,736
3128MMM67	FHLMC GOLD		3.50		3/1/2026		707,494		748,241
3128MMNX7	FHLMC GOLD		3.50		10/1/2026		9,100,067		9,624,165
3128NCBH6	FHLMC		2.36		1/1/2035		246,753		258,921
3128P7JE4	FHLMC GOLD		5.00		2/1/2028		12,093		13,093
3128P7JH7	FHLMC GOLD		5.00		3/1/2028		235,045		254,474
3128PR7G8	FHLMC GOLD		4.00		8/1/2025		1,409,749		1,497,118
3128PRVD8	FHLMC GOLD		4.00		6/1/2025		1,241,134		1,318,052
3128PRWU9	FHLMC GOLD		4.00		7/1/2025		1,317,440		1,399,088
3128PRZ85	FHLMC GOLD		4.00		7/1/2025		801,681		851,365
3128PSBA4	FHLMC GOLD		4.00		8/1/2025		2,222,388		2,360,119
3128PUGE6	FHLMC GOLD		3.50		2/1/2026		906,814		960,316
3128PUQT2	FHLMC GOLD		3.50		4/1/2026		767,882		812,107
3128PURZ7	FHLMC GOLD		3.50		4/1/2026		881,323		933,321
3128PUVC3	FHLMC GOLD		3.50		4/1/2026		826,952		874,578
3128PUVP4	FHLMC GOLD		3.50		4/1/2026		739,742		783,386
3128PUW73	FHLMC GOLD		3.50		5/1/2026		880,394		932,337
3128PUXF4	FHLMC GOLD		3.50		4/1/2026		728,989		772,000
3128PVBD1	FHLMC GOLD		4.00		5/1/2026		4,776,221		5,075,947
3128PVCG3	FHLMC GOLD		4.00		5/1/2026		4,509,237		4,792,209
3128PWV21	FHLMC GOLD		3.00		10/1/2026		5,580,351		5,884,760
3128PWWS3	FHLMC GOLD		3.00		10/1/2026		3,198,223		3,372,928
312906J50	FHLMC		8.50		9/15/2022		54,214		61,036
312929CM2	FHLMC GOLD		6.00		1/1/2039		7,769		8,745
31292K6L6	FHLMC GOLD		4.00		10/1/2040		29,927		32,149
31292K7B7	FHLMC GOLD		5.00		10/1/2040		7,417,905		8,107,696
31292KJH1	FHLMC GOLD		6.00		7/1/2037		1,428		1,607
31292LAN5	FHLMC GOLD		4.00		11/1/2040		21,987		23,619
31292LF67	FHLMC GOLD		4.00		3/1/2042		459,547		494,057
31292R7M8	FHLMC GOLD		3.50		6/1/2042		76,333,454		81,868,020
31292SAD2	FHLMC GOLD		3.50		7/1/2042		1,489,694		1,597,705
312930LH1	FHLMC GOLD		6.00		1/1/2039		19,686		22,157

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

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
312930LQ1	FHLMC GOLD		6.00		1/1/2039		35,133		39,544
312930RC6	FHLMC GOLD		6.00		1/1/2039		19,534		21,986
312930RV4	FHLMC GOLD		6.00		1/1/2039		7,570		8,520
312930TB6	FHLMC GOLD		6.00		1/1/2039		10,843		12,205
312931D62	FHLMC GOLD		4.00		2/1/2039		1,474,846		1,581,632
312931GN2	FHLMC GOLD		6.00		2/1/2039		34,718		38,211
312931TJ7	FHLMC GOLD		5.00		3/1/2039		2,752,824		2,984,722
312932CX2	FHLMC GOLD		4.50		4/1/2039		2,350,264		2,583,568
312932ZE9	FHLMC GOLD		5.00		5/1/2039		72,778		81,963
312933F41	FHLMC GOLD		4.50		6/1/2039		623,759		669,499
3129345K4	FHLMC GOLD		5.00		8/1/2039		152,833		170,976
312934CX8	FHLMC GOLD		4.00		7/1/2039		825,634		885,414
312934ML3	FHLMC GOLD		4.00		7/1/2039		29,376		31,503
312934PJ5	FHLMC GOLD		5.00		8/1/2039		80,728		90,916
312934R38	FHLMC GOLD		5.00		8/1/2039		62,462		70,345
312934SQ6	FHLMC GOLD		4.00		8/1/2039		57,734		61,914
312935AT6	FHLMC GOLD		5.00		8/1/2039		145,774		163,078
312935KY4	FHLMC GOLD		4.50		9/1/2039		221,461		238,228
312935LV9	FHLMC GOLD		4.50		9/1/2039		159,057		171,099
312935MV8	FHLMC GOLD		4.50		9/1/2039		1,526,392		1,641,955
312936LH8	FHLMC GOLD		5.00		10/1/2039		288,083		312,351
312936LM7	FHLMC GOLD		5.00		10/1/2039		480,171		537,173
3129385D1	FHLMC GOLD		5.00		1/1/2040		81,061		90,025
312938TU7	FHLMC GOLD		5.00		1/1/2040		703,187		771,940
312941TK3	FHLMC GOLD		4.00		8/1/2040		1,002,774		1,108,598
312942ER2	FHLMC GOLD		5.00		9/1/2040		2,679,773		2,934,246
312942F83	FHLMC GOLD		4.00		9/1/2040		1,349,476		1,491,887
312942L52	FHLMC GOLD		4.50		9/1/2040		1,653,132		1,777,924
312942NF8	FHLMC GOLD		4.00		9/1/2040		819,666		880,531
312943EE9	FHLMC GOLD		5.00		10/1/2040		6,623,800		7,239,747
312943HT3	FHLMC GOLD		4.00		11/1/2040		12,679,406		13,878,796
312943LY7	FHLMC GOLD		4.00		11/1/2040		389,959		431,112
312943UJ0	FHLMC GOLD		4.00		11/1/2040		54,179		58,203
312943ZY2	FHLMC GOLD		4.00		12/1/2040		950,708		1,021,303
312944BJ9	FHLMC GOLD		4.00		12/1/2040		3,611,468		3,965,503
312944BN0	FHLMC GOLD		4.00		12/1/2040		1,883,122		2,047,718
312944PJ4	FHLMC GOLD		4.00		12/1/2040		833,405		895,290
312945DN5	FHLMC GOLD		3.50		1/1/2041		5,494,143		5,881,469
312946FN1	FHLMC GOLD		4.50		3/1/2041		2,507,604		2,701,278
31294KDZ5	FHLMC GOLD		5.00		9/1/2016		1,039		1,129
31294KFJ9	FHLMC GOLD		5.00		11/1/2016		1,218		1,323
31294KHD0	FHLMC GOLD		5.00		2/1/2017		3,558		3,857
31294KHL2	FHLMC GOLD		5.00		3/1/2017		6,634		7,191
31294KJT3	FHLMC GOLD		5.00		5/1/2017		2,342		2,524
31294KKU8	FHLMC GOLD		5.00		9/1/2017		3,505		3,799
31294MAK7	FHLMC GOLD		4.00		8/1/2025		2,519,227		2,675,355
31294MJP7	FHLMC GOLD		3.50		10/1/2026		6,683,892		7,068,836
312962CQ4	FHLMC GOLD		5.00		8/1/2018		4,908		5,311
312962CT8	FHLMC GOLD		5.00		8/1/2018		777		838
312962KD4	FHLMC GOLD		5.50		10/1/2018		79,353		86,136
312962KT9	FHLMC GOLD		5.00		10/1/2018		10,802		11,689
312962MD2	FHLMC GOLD		5.00		11/1/2018		20,424		22,184
312962Q63	FHLMC GOLD		5.50		10/1/2018		13,250		14,383

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

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
312962UW1	FHLMC GOLD		5.50		11/1/2018		919,674		998,297
312963VY4	FHLMC GOLD		5.50		12/1/2018		205,088		222,621
312963WH0	FHLMC GOLD		5.50		12/1/2018		16,221		17,608
312963ZG9	FHLMC GOLD		5.50		11/1/2018		24,739		26,854
3129642B4	FHLMC GOLD		5.50		3/1/2019		46,234		50,301
312964KG3	FHLMC GOLD		5.00		2/1/2019		3,987		4,314
312964WX3	FHLMC GOLD		5.50		10/1/2018		316,507		343,565
312965QA7	FHLMC GOLD		5.50		11/1/2018		180,206		195,611
312966WU4	FHLMC GOLD		5.50		5/1/2019		1,200,084		1,305,640
312968QL7	FHLMC GOLD		5.50		12/1/2018		1,224,157		1,325,170
31296NEK9	FHLMC GOLD		5.00		9/1/2033		2,102,012		2,284,814
31296QYE4	FHLMC GOLD		6.00		12/1/2033		4,309		4,800
31296SBH8	FHLMC GOLD		6.00		12/1/2033		11,221		12,501
31297SFC4	FHLMC GOLD		5.50		8/1/2035		109,209		119,309
31297US50	FHLMC GOLD		5.50		10/1/2035		123,694		135,134
3132GDC67	FHLMC GOLD		4.00		4/1/2041		511,279		549,675
3132GDS86	FHLMC GOLD		4.50		5/1/2041		6,006,693		6,470,617
3132GE6P0	FHLMC GOLD		5.00		6/1/2041		995,162		1,092,463
3132GJ3K3	FHLMC GOLD		4.00		10/1/2041		1,347,861		1,449,082
3132GLCK8	FHLMC GOLD		4.00		12/1/2041		1,395,179		1,499,953
3132GLLL6	FHLMC GOLD		4.00		12/1/2041		478,087		519,726
3132GLWW0	FHLMC GOLD		4.00		1/1/2042		521,016		560,983
3132GMHA3	FHLMC GOLD		3.50		2/1/2042		2,148,805		2,304,605
3132GRNF4	FHLMC GOLD		4.00		2/1/2042		2,507,989		2,711,637
3132GUDP6	FHLMC GOLD		3.50		6/1/2042		28,661,593		30,739,705
3132GUKK9	FHLMC GOLD		3.50		6/1/2042		3,948,901		4,235,216
3132GUX90	FHLMC GOLD		3.50		7/1/2042		1,494,507		1,606,604
31342A6F1	FHLMC		2.37		9/1/2033		343,568		370,992
31349UCW6	FHLMC		2.23		10/1/2034		149,056		158,951
31349UEJ3	FHLMC		2.38		11/1/2034		296,087		320,650
31349ULB2	FHLMC		2.37		2/1/2035		288,089		308,822
31349UMF2	FHLMC		2.38		3/1/2035		474,466		513,992
313602YQ1	FANNIE MAE FNMA_89-44		9.00		7/25/2019		57,623		64,862
31368HNV1	FNMA		4.50		5/1/2040		6,020,957		6,515,017
31371LHQ5	FNMA		4.00		12/1/2013		44,652		45,895
31371LNH8	FNMA		4.00		4/1/2014		12,179		12,563
31371LZJ1	FNMA		4.00		1/1/2015		162,754		167,876
31371M5M5	FNMA		5.50		1/1/2037		209,135		228,643
31371MEP8	FNMA		5.00		9/1/2035		7,394		8,052
31371MG92	FNMA		4.00		9/1/2015		50,586		52,747
31371N4F9	FNMA		6.00		10/1/2028		293,127		323,279
31371NCJ2	FNMA		5.50		4/1/2037		6,357		6,948
31371NMG7	FNMA		6.00		11/1/2037		317,289		349,599
31371NP25	FNMA		5.50		1/1/2038		1,185,052		1,295,298
31379T6G4	FNMA		5.00		2/1/2014		5,484		5,957
3137A83K2	FHR_3820D DA		4.00		11/15/2035		20,557,451		21,483,770
3137AEH65	FHLMC_3917		0.72		6/15/2038		3,838,870		3,855,301
3137AEV77	FHLMC		2.70		5/25/2018		8,300,000		8,985,414
3137ANMN2	FHLMC MULTIFAMILY STRUCTURED		2.22		12/25/2018		3,400,000		3,591,726
31381QFF8	FNMA		3.75		3/1/2018		8,444,775		9,400,808
31382NR20	FNMA		5.50		4/1/2029		380		416
31385RB58	FNMA		8.50		4/1/2030		860,053		985,835
31385XK48	FNMA		2.36		7/1/2033		212,832		229,279

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

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
31388XVV3	FNMA		2.37		8/1/2033		5,604,709		5,804,178
31389EVA0	FNMA		6.50		12/1/2016		889,433		984,203
31389EVB8	FNMA		6.50		12/1/2016		1,108,744		1,226,881
3138A1BA8	FNMA		4.00		1/1/2041		3,055,839		3,290,355
3138A1CT6	FNMA		4.00		2/1/2035		73,962		79,638
3138A1HR5	FNMA		4.00		12/1/2040		1,589,089		1,731,194
3138A1MA6	FNMA		4.00		2/1/2041		263,308		283,515
3138A1SU6	FNMA		4.00		12/1/2040		262,129		285,243
3138A2CK3	FNMA		4.00		12/1/2025		3,224,327		3,442,943
3138A2DD8	FNMA		4.00		12/1/2040		58,677		63,136
3138A2FJ3	FNMA		4.00		12/1/2025		175,677		187,588
3138A2HF9	FNMA		4.00		1/1/2041		838,238		912,151
3138A2HG7	FNMA		4.00		1/1/2041		581,960		626,191
3138A2PD5	FNMA		3.50		1/1/2026		6,725,626		7,148,847
3138A2ZZ5	FNMA		4.00		7/1/2041		905,399		974,883
3138A36V4	FNMA		4.00		1/1/2041		24,912,083		26,805,488
3138A3BH9	FNMA		4.00		12/1/2040		787,037		846,854
3138A3DJ3	FNMA		4.00		3/1/2026		169,757		181,497
3138A3VB0	FNMA		4.00		1/1/2041		3,899,063		4,302,568
3138A3WC7	FNMA		4.00		1/1/2041		267,763		288,114
3138A44L6	FNMA		4.50		2/1/2041		4,442,818		4,816,609
3138A4CC7	FNMA		4.00		7/1/2041		219,459		236,301
3138A4J89	FNMA		4.00		2/1/2041		982,551		1,057,956
3138A4KH7	FNMA		4.00		1/1/2041		65,393		70,363
3138A4NR2	FNMA		4.00		1/1/2041		32,022		34,480
3138A4PA7	FNMA		4.00		2/1/2041		46,949		50,552
3138A54P4	FNMA		4.00		2/1/2041		158,528		170,694
3138A5RN4	FNMA		4.00		2/1/2026		70,783		75,678
3138A5YL0	FNMA		4.50		2/1/2041		452,510		489,642
3138A6E97	FNMA		4.00		2/1/2041		730,027		786,052
3138A6JV3	FNMA		4.00		1/1/2041		387,599		417,344
3138A6LD0	FNMA		5.00		2/1/2041		242,883		266,871
3138A6LJ7	FNMA		4.00		2/1/2026		15,418,013		16,484,247
3138A6RH5	FNMA		4.00		1/1/2041		27,491		29,600
3138A7FR4	FNMA		4.00		2/1/2041		417,576		449,622
3138A7G69	FNMA		4.00		2/1/2026		85,731		91,660
3138A7HY7	FNMA		3.50		2/1/2041		1,027,919		1,101,100
3138A7ZQ4	FNMA		4.00		3/1/2041		706,556		760,779
3138A8A48	FNMA		4.00		2/1/2041		831,869		895,710
3138A8E77	FNMA		4.00		3/1/2041		304,937		328,339
3138A8MD5	FNMA		4.00		2/1/2041		4,526,968		4,874,383
3138A8UL8	FNMA		4.50		3/1/2041		41,309		44,785
3138A9CZ5	FNMA		4.00		3/1/2041		4,046,962		4,408,863
3138A9N26	FNMA		4.00		3/1/2041		186,493		200,805
3138AA4M0	FNMA		4.50		3/1/2041		4,780,140		5,337,894
3138AAKX8	FNMA		4.00		4/1/2041		128,293		140,808
3138AARE3	FNMA		4.00		2/1/2041		320,805		345,425
3138AAYW5	FNMA		4.00		3/1/2041		515,495		555,055
3138AB2D0	FNMA		4.00		2/1/2041		93,000		100,137
3138ABZC6	FNMA		5.50		4/1/2041		349,175		382,731
3138ADER2	FNMA		4.00		4/1/2041		345,782		372,319
3138ADUG8	FNMA		5.00		5/1/2041		994,545		1,092,770
3138AEZG1	FNMA		4.00		7/1/2041		847,175		912,190

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

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
3138AFH86	FNMA		4.00		5/1/2041		509,520		548,623
3138AFKH2	FNMA		4.00		5/1/2026		80,808		86,397
3138AFRR3	FNMA		4.00		5/1/2041		138,830		149,485
3138AFXZ8	FNMA		4.00		5/1/2026		223,300		238,742
3138AG6Q6	FNMA		4.00		6/1/2026		299,834		320,569
3138AGQB7	FNMA		4.00		4/1/2026		236,684		253,052
3138AGQQ4	FNMA		4.00		5/1/2026		92,954		99,382
3138AHLW4	FNMA		4.00		9/1/2041		396,267		426,678
3138AHQC3	FNMA		4.50		9/1/2041		743,963		806,556
3138AHTD8	FNMA		5.00		6/1/2041		197,360		217,998
3138AJK50	FNMA		4.50		6/1/2041		3,536,065		3,833,568
3138AKEL9	FNMA		4.00		5/1/2026		148,206		158,456
3138AMFV2	FNMA		4.00		8/1/2041		516,799		556,460
3138AMXV2	FNMA		4.00		7/1/2041		662,765		713,627
3138ANBY8	FNMA		4.00		8/1/2041		169,977		183,022
3138ANPU1	FNMA		4.00		8/1/2041		7,698,805		8,289,638
3138ANWY5	FNMA		4.00		8/1/2041		235,456		253,526
3138ANZG1	FNMA		4.50		8/1/2041		209,507		227,134
3138AS4N9	FNMA		4.50		9/1/2041		2,701,607		2,928,903
3138AT4B3	FNMA		4.00		5/1/2042		886,558		960,424
3138AUMZ7	FNMA		4.00		11/1/2041		2,058,884		2,216,890
3138AUP84	FNMA		4.50		10/1/2041		54,201		58,762
3138AUW37	FNMA		4.00		10/1/2041		416,159		448,097
3138AVH24	FNMA		4.00		11/1/2041		236,626		254,785
3138AVWL5	FNMA		4.00		10/1/2041		181,162		195,064
3138AW3N1	FNMA		4.00		11/1/2041		65,571		70,603
3138AX5G2	FNMA		4.00		2/1/2042		257,770		279,246
3138AXAC5	FNMA		4.00		11/1/2041		1,598,393		1,721,059
3138AXHV6	FNMA		4.00		11/1/2041		161,323		173,703
3138AXRL7	FNMA		4.00		11/1/2041		837,565		901,843
3138AXST9	FNMA		4.50		11/1/2041		1,000,000		1,084,134
3138E03K3	FNMA		4.00		1/1/2042		530,876		575,108
3138E06H7	FNMA		4.00		12/1/2041		1,693,702		1,823,683
3138E1ND5	FNMA		4.00		12/1/2041		1,645,074		1,771,323
3138E2GH2	FNMA		4.00		1/1/2042		3,012,713		3,243,920
3138E47K1	FNMA		4.00		1/1/2042		380,789		410,012
3138E4AC5	FNMA		4.00		1/1/2042		345,001		371,477
3138E4EB3	FNMA		2.50		3/1/2027		1,590,178		1,673,297
3138E4F89	FNMA		4.00		2/1/2042		102,758		111,319
3138E4UV1	FNMA		4.00		1/1/2042		6,999,997		7,537,202
3138E6KZ8	FNMA		4.00		2/1/2042		654,171		708,675
3138E7HR8	FNMA		2.50		4/1/2027		4,016,796		4,226,754
3138E7JB1	FNMA		2.50		4/1/2027		990,745		1,041,963
3138E8KX9	FNMA		2.50		4/1/2027		4,184,489		4,400,813
3138E8L75	FNMA		2.50		5/1/2027		5,589,754		5,881,930
3138EBLJ2	FNMA		4.00		5/1/2042		184,758		200,152
3138EBTC9	FNMA		3.50		4/1/2042		22,124,415		23,732,758
3138ECAA1	FNMA		2.50		4/1/2027		2,534,693		2,667,182
3138ECLK7	FNMA		4.00		5/1/2042		494,175		535,348
3138ECLU5	FNMA		4.00		5/1/2042		497,010		538,420
3138ECTY9	FNMA		2.50		3/1/2027		822,886		865,427
3138ECWS8	FNMA		2.50		4/1/2027		5,188,206		5,459,394
3138ECYM9	FNMA		2.50		3/1/2027		905,432		952,239

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

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
3138ECYV9	FNMA		2.50		4/1/2027		984,979		1,035,899
3138EGCG7	FNMA		5.00		7/1/2039		68,000,004		73,896,921
3138EGF58	FNMA		5.00		5/1/2041		4,346,844		4,743,873
3138EGH72	FNMA		4.00		3/1/2026		1,121,289		1,197,314
3138EGHV9	FNMA		4.00		1/1/2026		161,597		172,553
3138EGHW7	FNMA		5.00		4/1/2041		791,283		868,275
3138EGKX1	FNMA		6.00		1/1/2040		7,239,745		7,976,991
3138EGQJ6	FNMA		5.00		6/1/2041		644,517		703,386
3138EGSJ4	FNMA		5.50		7/1/2041		876,051		957,501
3138EGTA2	FNMA		5.00		2/1/2038		3,256,104		3,552,682
3138EGWU4	FNMA		4.50		8/1/2041		3,440,017		3,729,439
3138EHBB7	FNMA		5.00		10/1/2041		30,277,567		33,267,913
3138EHBC5	FNMA		5.00		2/1/2041		5,333,061		5,851,970
3138EJCC0	FNMA		4.00		2/1/2042		4,137,428		4,454,949
3138EJRB6	FNMA		4.00		10/1/2042		12,500,000		13,541,470
3138EJRP5	FNMA		4.38		6/1/2021		6,394,699		7,448,418
3138LQES9	FNMA		4.00		4/1/2042		882,456		955,980
3138LQSU9	FNMA		2.50		6/1/2027		6,412,989		6,744,519
3138LRYZ9	FNMA		2.50		5/1/2027		6,133,659		6,450,748
3138LTLA4	FNMA		3.00		5/1/2027		1,666,648		1,767,752
3138LTZ43	FNMA		2.50		5/1/2027		2,107,637		2,217,803
3138LUZP3	FNMA		2.50		5/1/2027		1,289,289		1,356,680
3138LVEU3	FNMA		4.00		6/1/2042		731,109		798,773
3138LVJ87	FNMA		3.00		6/1/2027		2,935,041		3,113,091
3138LX5F2	FNMA		4.00		7/1/2042		211,008		228,589
3138M13D8	FNMA		3.50		7/1/2042		6,780,551		7,277,711
3138M13G1	FNMA		3.50		8/1/2042		7,189,645		7,716,800
3138M3MH4	FNMA		4.00		8/1/2042		1,342,712		1,454,584
3138NJAE8	FNMA		3.63		12/1/2020		2,248,882		2,524,123
3138NJAK4	FNMA		3.42		10/1/2020		3,028,907		3,362,784
31391YV87	FNMA		6.00		1/1/2033		2,501		2,792
31393QDY5	FHLMC		5.50		1/15/2032		3,678,789		3,813,432
31397BRY9	FHLMC_3221		5.00		7/15/2036		4,604,384		4,741,226
31400JM55	FNMA		5.50		5/1/2033		1,536		1,725
31400QJ87	FNMA		2.73		3/1/2033		20,051		21,427
31402GP98	FNMA		5.00		7/1/2033		6,161		6,938
31402QXK2	FNMA		8.50		2/1/2031		570,450		650,313
31402RF87	FNMA		5.00		6/1/2035		4,840,858		5,281,781
31402RSN0	FNMA		5.00		10/1/2035		8,321,464		9,061,342
31402YSV7	FNMA		3.00		9/1/2033		25,406		27,268
31403DC56	FNMA		4.50		12/1/2020		1,770,933		1,907,862
31403DC72	FNMA		4.50		11/1/2020		1,393,361		1,507,965
31403DJG5	FNMA		5.50		8/1/2034		18,489		20,371
31403KDB6	FNMA		2.57		12/1/2033		10,704		11,267
31404BPJ5	FNMA		4.00		1/1/2034		343,040		369,786
31404MAB4	FNMA		5.50		3/1/2034		7,435		8,192
31404MK98	FNMA		6.00		9/1/2034		1,482		1,653
31404NBP0	FNMA		2.60		2/1/2035		112,438		120,117
31404SFP5	FNMA		5.50		4/1/2034		5,255		5,901
31405NQY4	FNMA		6.00		9/1/2034		20,463		22,828
31405QNR5	FNMA		5.50		10/1/2034		913		1,025
31405UMM8	FNMA		2.46		10/1/2034		116,646		125,480
31405UTZ2	FNMA		2.30		11/1/2034		28,794		30,726

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

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
31406BB90	FNMA		2.49		1/1/2035		176,907		190,679
31406BEZ9	FNMA		2.46		12/1/2034		149,376		160,803
31406BJF8	FNMA		2.57		1/1/2035		169,756		181,496
31406BQQ6	FNMA		2.66		1/1/2035		228,251		245,751
31406DG67	FNMA		2.58		11/1/2034		774,698		832,198
31406EDN1	FNMA		5.00		1/1/2035		60,906		66,453
31406MYP5	FNMA		2.49		3/1/2035		339,541		357,948
31406RNA9	FNMA		6.00		11/1/2035		6,240		6,924
31406TLC3	FNMA		2.93		4/1/2035		345,422		372,322
31406TWR8	FNMA		2.21		1/1/2035		859,041		909,944
31406VHE9	FNMA		2.79		5/1/2035		179,757		193,393
31406YZV5	FNMA		5.00		8/1/2035		58,228		63,406
31407CE29	FNMA		5.50		7/1/2035		889		999
31407FG53	FNMA		5.50		8/1/2035		1,974		2,216
31407FUW8	FNMA		2.35		8/1/2035		2,996,531		3,104,655
31407VS22	FNMA		5.00		10/1/2035		68,760		74,873
31407VS89	FNMA		5.00		10/1/2035		44,090		48,010
31408AG53	FNMA		6.00		2/1/2036		34,242		38,213
31408FYG8	FNMA		6.00		1/1/2036		3,782		4,167
31408GFA0	FNMA		6.00		12/1/2035		379,336		420,904
31408JD32	FNMA		5.00		2/1/2036		1,552,285		1,690,301
31409A5P0	FNMA		6.00		3/1/2036		115,577		128,982
31409AYE3	FNMA		6.00		3/1/2036		321,285		355,602
31409CRY3	FNMA		6.00		2/1/2036		218,983		244,381
31409GM78	FNMA		6.00		7/1/2036		22,184		24,442
31409GML7	FNMA		6.50		7/1/2036		982,432		1,102,255
31409JVL1	FNMA		6.00		6/1/2036		1,437,809		1,584,185
31409UB38	FNMA		6.00		3/1/2036		37,667		41,502
31409VYW7	FNMA		6.00		4/1/2036		61,615		68,761
31409WAE1	FNMA		6.00		4/1/2036		495,065		547,067
31410CJV5	FNMA		6.00		5/1/2036		17,949		19,866
31410CMD1	FNMA		6.00		6/1/2036		257,452		283,662
31410FUS2	FNMA		5.50		12/1/2036		79,359		86,762
31410FVW2	FNMA		5.50		2/1/2037		5,211		5,697
31410FVY8	FNMA		5.50		2/1/2037		1,817,137		1,986,637
31410GD83	FNMA		2.44		4/1/2034		63,677		68,595
31410GDF7	FNMA		2.17		6/1/2033		253,296		270,245
31410GDL4	FNMA		2.32		2/1/2035		1,087,188		1,165,074
31410GDN0	FNMA		2.34		6/1/2033		175,699		187,396
31410GDP5	FNMA		2.38		6/1/2035		2,717,564		2,865,237
31410GDY6	FNMA		2.49		1/1/2035		62,421		66,837
31410GGR8	FNMA		6.00		5/1/2037		580,117		639,175
31410KEM2	FNMA		5.50		4/1/2038		4,703,300		5,140,852
31410KGQ1	FNMA		6.00		5/1/2038		5,432,259		5,984,194
31410KLD4	FNMA		5.50		5/1/2038		1,056,059		1,154,245
31410KMQ4	FNMA		5.50		6/1/2038		584,925		639,308
31410KNA8	FNMA		5.50		7/1/2038		246,333		269,235
31410KS47	FNMA		5.50		12/1/2035		8,725		9,613
31410KX74	FNMA		5.50		9/1/2036		4,805,943		5,301,014
31410LBU5	FNMA		4.00		9/1/2025		2,024,421		2,160,335
31410LC91	FNMA		5.50		2/1/2041		6,187,151		6,762,393
31410MMX5	FNMA		6.00		4/1/2036		334,990		373,842
31410NT24	FNMA		6.00		7/1/2036		26,409		29,142

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

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
31410QR86	FNMA		5.50		11/1/2036		196,537		214,870
31410RDL0	FNMA		6.00		8/1/2036		32,884		36,232
31410VDU1	FNMA		6.00		10/1/2036		317,047		349,324
31410WSE9	FNMA		6.00		9/1/2037		88,366		97,455
31411A5M3	FNMA		5.50		12/1/2036		12,278,883		13,424,241
31411A7C3	FNMA		5.50		12/1/2036		3,137,346		3,429,994
31411E2F3	FNMA		5.50		1/1/2037		24,582		26,875
31411EFN2	FNMA		5.50		12/1/2036		428,724		468,715
31411KLN1	FNMA		5.50		3/1/2037		309,258		338,029
31411LUV1	FNMA		5.00		4/1/2037		168,485		183,140
31411NUT2	FNMA		5.50		2/1/2037		403,433		440,965
31411URL7	FNMA		5.50		4/1/2037		499,269		545,716
31411VMN6	FNMA		5.50		3/1/2037		13,585,539		14,849,413
31412ACH5	FNMA		5.50		4/1/2037		155,338		169,789
31412DXY9	FNMA		5.50		1/1/2037		43,244		47,277
31412ESY3	FNMA		6.00		1/1/2037		38,786		43,284
31412HXU8	FNMA		6.00		10/1/2038		264,447		291,316
31412MYZ5	FNMA		5.50		6/1/2038		510,437		557,894
31412N3V6	FNMA		4.50		2/1/2039		324,873		350,800
31412N6G6	FNMA		4.50		3/1/2039		61,690		68,657
31412NXE1	FNMA		5.00		1/1/2039		1,764,536		1,939,225
31412NZ33	FNMA		5.00		2/1/2039		62,263		70,505
31412PA50	FNMA		4.50		3/1/2039		331,951		358,442
31412PBJ9	FNMA		4.50		3/1/2024		20,118,723		21,688,875
31412PBN0	FNMA		4.00		3/1/2039		394,000		423,556
31412PP88	FNMA		5.00		5/1/2039		188,190		211,926
31412PR60	FNMA		4.50		5/1/2039		343,176		370,563
31412PRN3	FNMA		4.00		5/1/2024		4,453,772		4,752,785
31412PXF3	FNMA		4.50		6/1/2039		98,997		107,185
31412Q2V0	FNMA		4.50		1/1/2040		3,151,161		3,411,794
31412QE70	FNMA		5.00		8/1/2039		3,904,231		4,421,070
31412QKA6	FNMA		4.00		9/1/2024		49,175		52,476
31412QPQ6	FNMA		6.00		1/1/2036		1,587,874		1,761,876
31412RAP2	FNMA		4.00		9/1/2035		20,406		22,058
31412RG76	FNMA		4.00		4/1/2025		2,915,952		3,158,824
31412RGG6	FNMA		5.00		4/1/2040		351,018		384,727
31412RH42	FNMA		5.00		4/1/2040		9,464,416		10,325,962
31412RL54	FNMA		4.00		12/1/2040		3,411,375		3,670,652
31412RL62	FNMA		4.00		12/1/2040		922,215		992,306
31412RNY9	FNMA		4.00		1/1/2041		87,395		94,882
31412T6Y4	FNMA		6.00		2/1/2039		2,605,087		2,921,877
31412TKJ1	FNMA		6.00		11/1/2038		4,199,225		4,640,320
31412TM26	FNMA		5.50		6/1/2038		3,277,853		3,590,805
31412UEQ9	FNMA		4.50		9/1/2039		400,060		447,239
31412URR3	FNMA		4.00		7/1/2024		4,914,737		5,244,698
31412V4G0	FNMA		5.50		7/1/2037		259,346		283,473
31413BTW1	FNMA		5.50		6/1/2037		3,369,828		3,683,326
31413CLH0	FNMA		6.00		7/1/2037		3,528,405		3,905,274
31413DX51	FNMA		6.00		8/1/2037		48,353		53,277
31413ES55	FNMA		5.50		8/1/2037		10,207		11,157
31413F4X7	FNMA		6.00		7/1/2037		56,319		62,054
31413HKW7	FNMA		6.00		8/1/2037		15,204		16,753
31413LN47	FNMA		6.00		8/1/2037		499,941		550,851

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

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
31413NY66	FNMA		6.00		11/1/2037		2,684,694		2,971,446
31413R2P0	FNMA		6.00		12/1/2037		4,023,620		4,490,278
31413TK68	FNMA		5.50		12/1/2037		254,036		277,669
31413TWV0	FNMA		5.50		1/1/2038		360,180		393,688
31413UKQ1	FNMA		6.50		10/1/2037		1,213,917		1,362,064
31413UUD9	FNMA		5.50		1/1/2038		96,713		105,710
31414ANH1	FNMA		5.50		12/1/2037		615,604		672,874
31414GWU9	FNMA		5.50		2/1/2038		396,426		433,283
31414HZ67	FNMA		5.50		12/1/2037		231,740		253,299
31414LYR3	FNMA		5.00		3/1/2038		183,338		199,237
31414NCH5	FNMA		6.00		12/1/2038		1,641,049		1,831,377
31414NH31	FNMA		5.00		2/1/2039		1,830,968		2,073,350
31414NH49	FNMA		5.00		2/1/2039		2,117,531		2,384,613
31414SX81	FNMA		5.50		6/1/2038		490,222		535,799
31415BJE0	FNMA		5.50		7/1/2038		60,727		66,373
31415P3Y2	FNMA		5.50		4/1/2034		5,772		6,366
31415QK54	FNMA		6.00		6/1/2038		272,255		299,917
31415QTY2	FNMA		6.00		7/1/2038		1,165,687		1,288,133
31415SPY2	FNMA		6.00		12/1/2038		499,241		549,965
31415SRP9	FNMA		5.50		11/1/2038		271,321		296,547
31415VLC7	FNMA		6.00		9/1/2038		318,519		351,977
31415WA60	FNMA		4.50		1/1/2039		47,395		52,984
31415YLZ0	FNMA		4.00		7/1/2024		1,176,857		1,255,867
31416AQ29	FNMA		4.00		7/1/2024		227,145		242,395
31416B3Y2	FNMA		4.50		3/1/2039		506,181		546,577
31416BK72	FNMA		5.50		6/1/2038		494,677		540,697
31416BMK1	FNMA		5.00		2/1/2038		392,199		426,629
31416BRU4	FNMA		6.00		5/1/2037		820,023		909,883
31416BTB4	FNMA		5.00		12/1/2035		1,105,850		1,204,173
31416H2M6	FNMA		5.00		4/1/2039		27,059		29,531
31416JZM6	FNMA		5.00		2/1/2039		2,464,400		2,688,734
31416M5A8	FNMA		5.00		3/1/2039		2,165,352		2,404,632
31416M6W9	FNMA		5.00		4/1/2039		26,291		29,377
31416MLA0	FNMA		4.50		3/1/2039		32,555		36,232
31416MVP6	FNMA		4.50		4/1/2039		65,996		73,449
31416N5T5	FNMA		4.50		4/1/2039		179,123		199,351
31416NC42	FNMA		4.50		4/1/2039		17,173,638		18,544,188
31416NRD6	FNMA		4.50		3/1/2039		20,393		22,696
31416QJZ9	FNMA		5.00		5/1/2039		82,828		93,793
31416QMS1	FNMA		4.00		6/1/2024		723,049		771,593
31416RSJ3	FNMA		4.00		8/1/2039		165,197		177,589
31416S6B2	FNMA		4.50		7/1/2039		101,014		109,369
31416SD40	FNMA		4.50		7/1/2039		95,430		103,323
31416SED9	FNMA		5.00		7/1/2039		71,071		77,541
31416SLC3	FNMA		4.50		6/1/2039		107,439		116,325
31416TAG4	FNMA		4.50		7/1/2039		142,553		154,344
31416TAL3	FNMA		5.00		7/1/2039		82,342		93,242
31416TE47	FNMA		4.50		8/1/2039		94,959		105,682
31416TEE5	FNMA		4.50		8/1/2039		142,315		154,086
31416TEF2	FNMA		4.50		8/1/2039		97,675		108,706
31416TKG3	FNMA		5.00		6/1/2039		89,116		97,228
31416TV63	FNMA		4.00		9/1/2040		450,077		484,284
31416VKN3	FNMA		6.00		12/1/2038		778,083		859,571

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

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
31416WD66	FNMA		5.00		5/1/2040		609,259		667,766
31416WE57	FNMA		5.00		5/1/2040		9,423,190		10,280,983
31416WFG2	FNMA		4.00		5/1/2025		19,379		20,692
31416XJ92	FNMA		4.00		1/1/2041		458,112		492,931
31416XKB5	FNMA		4.00		1/1/2041		180,262		193,963
31416XYZ7	FNMA		4.00		3/1/2041		920,625		991,277
31416Y6N3	FNMA		4.00		9/1/2041		31,014		33,395
31416YDN5	FNMA		4.00		4/1/2041		34,839		37,513
31416YLM8	FNMA		4.50		5/1/2041		1,867,463		2,024,580
31416YVF2	FNMA		4.50		7/1/2041		9,277,667		10,058,233
31417A5Q8	FNMA		4.00		2/1/2042		123,297		134,246
31417ASC4	FNMA		4.00		12/1/2041		299,467		322,449
31417ASD2	FNMA		4.00		12/1/2041		1,470,865		1,583,744
31417CVV4	FNMA		4.00		8/1/2042		342,677		371,228
31417J2B5	FNMA		5.00		9/1/2039		50,041		54,597
31417JSB7	FNMA		4.50		7/1/2039		33,258		36,009
31417KUM7	FNMA		4.00		8/1/2039		134,106		144,166
31417KXH5	FNMA		4.50		8/1/2039		2,847,491		3,183,300
31417LLX1	FNMA		5.00		7/1/2039		112,847		127,786
31417M2V4	FNMA		4.50		8/1/2039		68,605		76,696
31417M2W2	FNMA		4.50		8/1/2039		15,623		17,388
31417MFB4	FNMA		4.50		8/1/2039		193,544		209,552
31417MPN7	FNMA		5.00		9/1/2039		83,240		90,817
31417MQT3	FNMA		5.00		10/1/2039		57,659		62,908
31417MTC7	FNMA		4.50		9/1/2039		437,853		489,489
31417MVC4	FNMA		4.50		10/1/2039		390,302		436,331
31417MYL1	FNMA		4.50		11/1/2039		3,234,675		3,492,820
31417QR97	FNMA		4.00		1/1/2040		109,358		117,669
31417QS62	FNMA		4.00		10/1/2024		15,889		16,956
31417QT20	FNMA		4.00		10/1/2039		22,347		24,023
31417SYT1	FNMA		4.50		11/1/2039		79,364		88,327
31417UXN0	FNMA		4.00		2/1/2025		90,715		96,866
31417VJS3	FNMA		4.50		12/1/2039		21,306		23,069
31417VQR7	FNMA		4.00		1/1/2040		674,234		725,478
31417VQT3	FNMA		4.50		1/1/2040		1,552,153		1,735,200
31417VYY3	FNMA		4.00		2/1/2025		219,385		234,260
31417Y3H8	FNMA		4.00		7/1/2026		1,158,010		1,238,092
31417Y6F9	FNMA		4.00		10/1/2041		64,522		69,474
31417Y6Q5	FNMA		4.00		10/1/2031		4,191,206		4,535,978
31417YF44	FNMA		4.00		9/1/2039		59,069		63,500
31417YTT4	FNMA		4.00		11/1/2040		369,377		397,451
31417YUH8	FNMA		4.00		12/1/2040		402,849		433,466
31417YVG9	FNMA		4.00		1/1/2041		342,892		368,953
31417YW37	FNMA		4.00		2/1/2041		324,406		349,302
31417YX51	FNMA		4.00		4/1/2041		427,347		460,143
31417YXX0	FNMA		4.50		4/1/2041		1,843,815		1,998,943
31418AEA2	FNMA		4.00		4/1/2042		396,078		429,079
31418AGR3	FNMA		3.50		7/1/2032		2,471,677		2,654,726
31418AKQ0	FNMA		4.00		10/1/2042		449,049		486,463
31418MC91	FNMA		6.00		11/1/2038		520,098		573,061
31418MT93	FNMA		4.50		1/1/2040		1,440,936		1,555,931
31418MUL4	FNMA		4.50		12/1/2039		676,341		732,282
31418PCP8	FNMA		5.00		9/1/2040		192,737		211,490

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

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
31418RHE4	FNMA		4.00		4/1/2025		326,140		348,253
31418SJB6	FNMA		4.00		4/1/2025		25,262		26,975
31418UCZ5	FNMA		4.00		5/1/2025		156,475		167,085
31418UVY7	FNMA		4.00		6/1/2025		268,243		286,431
31418UYE8	FNMA		4.00		5/1/2039		22,485		24,249
31418VQY1	FNMA		4.00		8/1/2040		94,156		101,312
31418W6Y1	FNMA		5.00		9/1/2040		417,550		457,647
31418W7J3	FNMA		5.00		9/1/2040		336,919		369,274
31418XF52	FNMA		4.50		9/1/2040		9,788,119		10,591,300
31419A4T1	FNMA		6.00		6/1/2038		11,292		12,442
31419AG27	FNMA		4.00		8/1/2040		31,802		34,219
31419AG35	FNMA		4.50		8/1/2040		3,412,100		3,692,086
31419ANB9	FNMA		4.00		9/1/2040		173,485		186,671
31419ANK9	FNMA		5.50		10/1/2039		1,372,709		1,500,335
31419AQ83	FNMA		4.00		11/1/2040		14,251,882		15,335,074
31419AX44	FNMA		4.50		12/1/2040		15,223,466		16,472,654
31419BBT1	FNMA		4.00		2/1/2041		5,572,788		5,996,340
31419BW68	FNMA		4.00		9/1/2040		155,799		167,640
31419D4K4	FNMA		4.00		3/1/2041		317,055		341,387
31419DJY8	FNMA		4.00		8/1/2025		4,476,638		4,780,164
31419DLW9	FNMA		4.00		9/1/2040		423,785		455,995
31419DTQ4	FNMA		5.00		9/1/2040		689,382		756,459
31419E6N4	FNMA		4.00		3/1/2041		1,790,857		1,928,293
31419ED71	FNMA		4.00		12/1/2040		442,936		476,600
31419EJR1	FNMA		4.00		10/1/2040		307,772		331,164
31419EK40	FNMA		4.00		11/1/2040		131,903		144,111
31419EK65	FNMA		4.00		11/1/2040		1,534,480		1,651,106
31419ENB1	FNMA		5.00		9/1/2040		1,328,852		1,469,882
31419ESN0	FNMA		4.00		10/1/2040		2,242,662		2,413,112
31419EU80	FNMA		5.00		9/1/2040		267,690		293,396
31419EW70	FNMA		4.00		9/1/2040		229,562		247,009
31419FCP9	FNMA		4.00		6/1/2026		1,862,005		1,990,772
31419FEM4	FNMA		4.50		10/1/2040		3,410,271		3,690,107
31419FFW1	FNMA		4.00		11/1/2040		71,128		76,534
31419FSH0	FNMA		4.00		12/1/2025		66,629		71,147
31419FVA1	FNMA		4.00		10/1/2040		935,478		1,006,577
31419FVW3	FNMA		4.00		10/1/2040		81,712		87,922
31419G2T0	FNMA		4.00		11/1/2040		31,269		33,645
31419GB94	FNMA		4.00		10/1/2040		561,576		604,258
31419GJA3	FNMA		4.00		10/1/2040		419,552		451,440
31419GXN9	FNMA		4.00		10/1/2040		8,171,473		8,792,533
31419GYT5	FNMA		4.00		10/1/2040		29,583,695		31,832,159
31419H6Y3	FNMA		4.00		11/1/2040		48,914		52,632
31419HBS0	FNMA		4.00		11/1/2040		171,421		184,450
31419HC67	FNMA		4.00		2/1/2041		2,095,952		2,256,803
31419HKN1	FNMA		4.00		10/1/2040		377,957		406,684
31419HVP4	FNMA		4.00		11/1/2040		214,751		231,073
31419JEA2	FNMA		4.00		12/1/2040		325,833		350,598
31419JLP1	FNMA		4.00		11/1/2040		136,724		147,116
31419JWT1	FNMA		4.00		12/1/2040		110,876		119,303
31419JZ43	FNMA		3.50		12/1/2040		3,602,227		3,858,679
31419KR49	FNMA		4.00		11/1/2040		66,506		71,561
31419L5A7	FNMA		4.00		11/1/2040		1,276,112		1,397,407

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

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
31419LN66	FNMA		4.00		12/1/2040		81,033		87,191
31419LYE7	FNMA		4.50		11/1/2040		150,533		162,885
31419LZ63	FNMA		4.00		12/1/2040		85,714		92,228
31421AAU7	FNMA		5.50		12/1/2038		4,609		5,055
36176ABB4	GNMA		3.50		3/15/2042		309,554		339,313
36176FUE6	GNMA		3.50		2/15/2042		118,878		130,306
36176QLG7	GNMA		2.50		8/15/2027		1,789,474		1,898,525
36176QPR9	GNMA		3.50		3/15/2042		833,222		913,325
36176R7D8	GNMA		3.50		3/15/2042		971,588		1,065,744
36176V5Q2	GNMA		3.50		3/15/2042		38,264		41,942
36176WGG0	GNMA		3.50		12/15/2041		1,674,274		1,835,232
36176XCT4	GNMA		3.50		2/15/2042		1,449,846		1,589,229
36176XEZ8	GNMA		2.50		3/15/2027		806,573		855,726
36177NXQ8	GNMA		3.50		3/15/2042		519,056		568,956
36177R5R8	GNMA		3.50		3/15/2042		1,724,166		1,891,252
36177RXF3	GNMA		3.50		1/15/2042		3,354,177		3,676,633
36177S3E7	GNMA		3.50		2/15/2042		2,233,890		2,448,647
36177X2H0	GNMA		2.50		5/15/2027		1,332,560		1,413,766
36177YR32	GNMA		2.50		6/15/2027		801,031		849,846
36178GHC1	GNMA		2.50		7/15/2027		447,581		474,857
36178NB99	GNMA		2.50		8/15/2027		19,409,488		20,592,302
36202F4S2	GNMA		4.50		3/20/2042		2,140,830		2,361,583
36202FZY5	GNMA		4.00		12/20/2041		2,342,847		2,578,154
36202FZZ2	GNMA		4.50		12/20/2041		1,324,074		1,460,607
36206XC43	GNMA		7.00		5/15/2031		916		1,080
3620A9SW2	GNMA		4.50		9/15/2039		422,817		465,864
3620C04Y1	GNMA		4.50		7/15/2040		1,921,489		2,125,331
3620C1WV4	GNMA		3.50		1/15/2042		3,332,538		3,652,915
36212PPP1	GNMA		7.00		4/15/2031		8,945		10,545
36212U5G2	GNMA		7.00		5/15/2031		12,076		14,236
36213HGU7	GNMA		7.00		3/15/2031		1,623		1,913
36225DM43	GNMA		1.63		3/20/2035		9,628,654		10,114,536
36230PCQ1	GNMA		2.50		2/15/2027		1,413,284		1,499,410
36230PCY4	GNMA		3.50		1/15/2042		357,344		391,698
36230RVV5	GNMA		3.50		11/15/2040		20,522,532		22,517,069
36241KV39	GNMA		4.50		8/15/2038		5,729,456		6,279,253
36241KV47	GNMA		4.50		9/15/2038		4,678,366		5,113,414
36241KWA2	GNMA		4.50		10/15/2038		2,579,230		2,819,076
36241LY91	GNMA		3.50		10/15/2041		396,558		434,682
36296QRY7	GNMA		5.00		4/15/2039		1,696,290		1,874,694
36297FYL0	GNMA		4.50		10/15/2039		86,250		95,031
38374CP54	GNMA_03-75		4.50		3/20/2024		1,870,613		1,900,880
62888VAB4	NCUA GUARANTEED NOTES		1.84		10/7/2020		1,075,217		1,094,033
							1,486,749,229		1,606,201,297
Non Agency RMBS
05948X6X4	BANK OF AMERICA MTG SEC		4.75		6/25/2019		2,477,339		2,542,815
07384MWF5	BSARM		3.00		8/25/2033		97,733		97,026
12669EYQ3	COUNTRYWIDE HOME LOANS TR		3.25		8/25/2033		83,404		76,793
16162WLM9	CHASE		5.50		10/25/2035		7,882,513		8,016,673
161630AC2	CHASE		2.97		2/25/2037		9,487,746		9,457,575
161630AG3	CHASE		3.00		2/25/2037		6,601,561		6,753,595
161630AN8	CHASE		2.97		2/25/2037		2,713,441		2,730,780
161630AQ1	CHASE		3.01		2/25/2037		2,230,132		2,211,220

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

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
1729733P2	CMSI		5.00		10/25/2035		6,804,101		7,074,496
449670EQ7	IMC HOME EQUITY LOAN TRUST		6.84		8/20/2029		106,045		104,474
46630GAA3	JPMMT		3.05		7/25/2035		5,626,202		5,695,236
46630GAD7	JPMMT		2.92		7/25/2035		2,025,262		2,042,416
46630GAN5	JPMMT_07-A1		3.00		7/25/2035		1,378,102		1,396,568
46630GAS4	JPMMT		2.94		7/25/2035		5,952,700		6,048,360
513770AW7	LANARK MASTER ISSUER PLC		1.83		12/22/2054		7,600,000		7,733,000
525170BL9	LABS		5.00		12/25/2033		7,781,744		7,808,591
576433QQ2	MARM_04-8		2.03		9/25/2034		1,212,157		1,080,117
589929W53	MLMI		2.73		7/25/2033		145,013		147,065
62889EAA3	NGN_11-R3		0.63		3/11/2020		1,446,630		1,454,760
76110H2P3	RES ASSET SEC		3.23		3/25/2035		1,074,479		599,892
76110HHG7	RFMSI_03-Q16		5.00		8/25/2018		4,605,506		4,699,228
863579KY3	SARM		2.85		2/25/2035		2,368,379		1,911,874
86359BGD7	STRUCTURED ASSET SEC CORP		2.73		2/25/2034		114,924		113,770
86359BVE8	STRUCTURED ASSET SEC CORP		2.76		6/25/2034		8,824,411		8,784,789
92922F4M7	WASHINGTON MUTUAL		0.51		10/25/2045		1,066,830		929,742
92922F4P0	WAMU		1.00		10/25/2045		5,253,503		4,993,244
92922FB49	WASHINGTON MUTUAL		0.61		11/25/2034		331,822		328,281
92922FZF8	WAMU_04-A12		0.58		10/25/2044		6,219,366		5,717,202
949781AA6	WFMBS		2.61		2/25/2035		2,933,596		2,906,461
94982BAG5	WFMBS		2.71		6/25/2035		3,924,571		3,919,116
							108,369,211		107,375,159
Non Agency RMBS - High Yield Mandate
02660BAA0	AHMA_07-1		0.85		2/25/2047		8,233,501		4,532,048
02660UAE0	AHMA_06-3		1.09		10/25/2046		9,945,254		6,055,765
026930AA5	AHMA_07-2		0.34		3/25/2047		4,789,864		3,114,082
05949QAH8	BANC OF AMERICA FUNDING CORPOR		6.25		3/25/2036		1,250,000		1,250,375
05954DAG1	BAFC		3.08		7/20/2047		4,838,521		3,549,878
07384MWF5	BSARM		3.00		8/25/2033		19,547		19,405
073868AA9	BALTA_06-6		0.38		11/25/2036		12,990,814		6,427,205
07387AAW5	BSARM		3.00		6/25/2035		5,187,328		4,490,307
07401YAQ8	BEAR STEARNS MORTGAGE FUNDING		0.43		6/25/2037		12,188,512		8,371,192
12543TAZ8	CWHL_06-13		6.25		9/25/2036		4,503,218		3,884,791
12566VAE2	CMALT_07-A4		5.75		4/25/2037		3,913,573		3,102,289
12566XAK4	CMA_07-A7		0.62		7/25/2037		6,154,158		3,505,839
12667GNS8	COUNTRYWIDE ALTERNATIVE LOAN T		1.46		7/20/2035		845,879		565,206
12667GZ30	CWALT		0.57		9/25/2035		1,823,857		1,283,612
12668BCG6	CWALT		6.00		2/25/2036		654,767		499,895
12668BPY3	CWALT		5.50		4/25/2036		11,690,411		9,247,349
126694A32	COUNTRYWIDE HOME LOANS		0.43		3/20/2046		1,736,963		1,050,862
126694MS4	COUNTRYWIDE HOME LOANS		5.50		11/25/2035		4,188,255		4,060,932
12669EYQ3	COUNTRYWIDE HOME LOANS TR		3.25		8/25/2033		27,801		25,598
22541QUJ9	CS FIRST BOSTON MORTGAGE SECUR		2.98		10/25/2033		117,692		117,674
22942KCD0	CSMC		6.00		8/25/2036		12,423,917		8,715,378
232434AE0	CWALT_06-OC8		0.47		11/25/2036		20,501,571		4,605,678
23245GAD3	CWALT_06-OC9		0.47		12/25/2046		5,163,708		1,528,871
23245QAA7	CWALT		0.41		3/20/2047		11,484,822		6,887,930
23332QAC7	DSLA		0.42		10/19/2036		1,400,001		1,030,765
25150UAA6	DBALT_07-OA2		0.77		4/25/2047		3,140,369		2,305,188
25151AAG6	DBALT		0.50		8/25/2036		26,330,766		9,972,514
25151TAC4	DBALT_07-BAR1		0.38		3/25/2037		11,500,000		4,679,350
32052DAG6	FHAMS_06-FA8		6.00		2/25/2037		5,304,538		4,194,298

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

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
40431HAJ6	HALO		0.52		12/25/2036		4,760,592		1,025,498
41161VAC4	HVMLT		0.42		9/19/2036		4,458,747		3,125,408
41162DAF6	HVMLT_06-12		0.41		12/19/2036		6,080,815		4,368,585
45660NQ24	INDX		2.66		8/25/2034		370,623		293,531
456687AC6	INDX_07-FL4		0.40		7/25/2037		2,798,652		2,264,949
45668WAC1	INX		0.47		2/25/2037		5,000,000		1,594,800
466306AA5	JPALT_08-R2		6.00		11/25/2036		3,912,008		2,856,783
52520MBY8	LMT_05-2		0.97		12/25/2035		3,532,575		2,179,387
525221HA8	LXS		0.48		2/25/2046		3,754,534		2,330,533
52524HAJ9	LXS		0.90		3/25/2047		2,575,201		1,798,008
52524PAG7	LXS_07-16N		0.38		5/25/2037		8,879,302		6,197,930
55027WAA0	LUM_07-2		0.45		5/25/2037		4,051,102		2,271,169
55027XAA8	LUM_06-5		0.41		7/25/2036		6,332,446		3,423,510
57643LLC8	MABS		5.65		11/25/2035		10,000,000		6,748,100
59024KAX1	MLA_07-AF1		3.05		6/25/2037		3,278,620		1,980,385
61748HJV4	MORGAN STANLEY MTG LOAN TRUST		5.00		8/25/2035		599,044		621,083
61748HVE8	MORGAN STANLEY MTG LOAN TRUST		5.25		2/25/2021		929,538		939,633
68383NDW0	OPTEUM MORTGAGE ACCEPT CORP		0.52		4/25/2036		7,000,000		4,174,800
74923LAB8	RALI		0.41		5/25/2047		4,720,349		3,356,631
74958XAB0	RFMSI		3.31		4/25/2037		4,471,753		3,845,707
751153AA5	RALI_06-Q010		0.38		1/25/2037		3,621,323		2,383,120
76110H2P3	RES ASSET SEC		3.23		3/25/2035		216,524		120,888
761118FG8	RALI		3.45		8/25/2035		3,520,653		2,651,125
761118QM3	RALI		1.15		1/25/2046		3,849,522		2,423,181
863579J90	SARM		2.67		12/25/2035		9,340,855		5,505,126
86359A5B5	SASC		2.81		11/25/2033		348,495		350,339
86359AH71	SASC		2.78		7/25/2033		507,110		497,501
86359BGD7	STRUCTURED ASSET SEC CORP		2.73		2/25/2034		28,731		28,443
86359LQM4	SAMI_06-AR1		2.30		3/25/2046		3,638,570		2,734,204
86361HAA2	SAMI_06-AR7		0.43		8/25/2036		8,561,555		5,322,779
92922F7P7	WASHINGTON MUTUAL		0.49		12/25/2045		7,134,801		6,455,710
92922FJ25	WASHINGTON MUTUAL		0.45		4/25/2045		1,507,115		1,400,074
92922FR67	WASHINGTON MUTUAL		0.49		7/25/2045		497,334		466,303
92922FR75	WASHINGTON MUTUAL		0.51		7/25/2045		4,907,338		4,526,038
92925DAB6	WAMU		0.96		12/25/2046		3,217,536		2,745,298
92927BAA0	WAMU_07-OA6		0.96		7/25/2047		10,877,799		8,089,819
933635AB0	WAMU_07-OA2		2.37		3/25/2047		2,966,353		2,171,073
93363RAA4	EAST PACES FERRY LLC		1.03		10/25/2046		7,467,971		5,209,732
93364BAA8	WAMU MORTGAGE PASS-THROUGH CER		0.90		6/25/2047		1,651,489		1,238,617
9393362N2	WASHINGTON MUTUAL MSC MORTGAGE		6.00		3/25/2035		3,391,669		3,299,043
93936RAA2	WAL		0.99		5/25/2047		7,812,099		4,956,933
94981QAA6	WFMBS		2.75		10/25/2035		408,197		418,724
94985KAA5	WFA_07-PA6		3.64		12/28/2037		3,732,087		2,822,320
							369,060,635		230,287,095
CMBS
055236AA1	BAMLL_11-07C1		5.38		11/15/2016		6,300,000		7,037,730
059500AD0	BACM		5.89		7/10/2044		5,000,000		5,740,550
05950EAE8	BACM		5.92		5/10/2045		8,615,000		9,948,344
059511AH8	BACM		5.81		4/10/2049		2,550,000		2,732,529
059512AB9	BACM_07-3		5.89		6/10/2049		140,273		140,326
059512AQ6	BANC OF AMERICA COMMERCIAL MOR		0.40		6/10/2049		140,273		140,250
05956VAC8	BAMLL_11-STRP		2.15		8/17/2038		6,975,498		6,981,637
07383FXJ2	BEAR STEARNS COMMERCIAL MORTGA		5.19		5/11/2039		1,948,280		2,008,736

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

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
07387BEB5	BSCMS		5.41		12/11/2040		2,500,000		2,815,950
07388LAE0	BEAR STEARNS		5.54		9/11/2041		7,500,000		8,666,850
07388NAE6	BEAR STEARNS COMMERCIAL MORTGA		5.54		10/12/2041		9,020,000		10,461,847
07388PAE1	BSCMS		5.20		12/11/2038		19,480,000		22,446,804
07388YAG7	BSCMS		5.91		6/11/2040		2,850,000		3,116,732
12513YAC4	CD		5.21		12/11/2049		1,141,513		1,162,756
12513YAF7	CD		5.32		12/11/2049		5,000,000		5,693,100
126192AE3	COMM_12-LC4		4.06		12/10/2044		1,000,000		1,078,420
12622DAA2	COMM_10-C1		3.16		7/10/2046		9,603,899		10,183,687
12622QAA3	COMM_11-THL		3.38		6/9/2028		7,558,579		7,691,912
14986DAE0	CD		5.66		10/15/2048		1,500,000		1,555,725
17310MAE0	CITIGROUP		5.43		10/15/2049		2,026,000		2,348,519
17313KAD3	CGCMT		6.26		12/10/2049		3,150,000		3,228,782
190749AE1	CWCAPITAL COBALT		5.22		8/15/2048		5,000,000		5,614,700
20046GAC2	COMM_06-FL12		0.32		12/15/2020		883,569		857,062
20047QAE5	COMM		5.94		6/10/2046		4,000,000		4,564,560
20173QAE1	GCCFC		5.44		3/10/2039		5,000,000		5,709,100
22545DAD9	CREDIT SUISSE MORTGAGE CAPITAL		6.00		6/15/2038		5,000,000		5,761,150
22545RAB2	CSMC		0.39		10/15/2021		514,676		500,070
23306AAA8	DBRR_12-EZ1		0.95		9/25/2045		4,600,000		4,608,266
3136A56W1	FNMA		2.98		4/25/2022		1,700,000		1,812,472
3136A7MJ8	FNMA_12-M8		1.52		4/25/2018		2,000,000		2,049,398
3136A7MK5	FNMA_12-M8		1.80		12/25/2019		2,100,000		2,155,503
3136A7MN9	FNMA_12-M8		2.35		5/25/2022		1,800,000		1,832,562
3137ARPY6	FHMS_19-K710		1.88		5/25/2019		10,700,000		11,058,664
3137ATRW4	FHLMC		2.37		5/25/2040		30,000,000		30,605,118
361849YU0	GMACC		5.64		5/10/2040		1,550,000		1,598,500
361849ZS4	GMACC		4.65		4/10/2040		3,321		3,322
361849ZT2	GMACC		5.02		4/10/2040		2,000,000		2,071,780
36191YAY4	GSMS_11-GC5		1.47		8/10/2044		945,353		958,474
36228CTH6	GSMS_04-GG2		5.40		8/10/2038		1,000,000		1,070,680
36228CZW6	GSMS		1.72		3/6/2020		5,350,000		5,348,449
36246LAC5	GS MORTGAGE SECURITIES CORPORA		5.98		8/10/2045		1,000,000		1,078,570
46625YSF1	JPMCC_05-LDP3		4.96		8/15/2042		734,703		744,496
46629GAE8	JPMCC		5.55		5/12/2045		13,500,000		15,529,455
46629PAM0	JPMCC		5.30		5/15/2047		1,605,178		1,618,838
46630EAC4	JPMCC		5.43		12/12/2043		7,334,510		8,385,032
46630JAC3	JP MORGAN CHASE COMMERCIAL MOR		5.42		1/15/2049		5,000,000		5,752,750
46636VAC0	JP MORGAN CHASE COMMERCIAL MOR		4.17		8/15/2046		1,000,000		1,144,890
46638UAC0	JPMCC_12-C8		2.83		10/15/2045		7,000,000		7,158,689
50179MAE1	LBUBS		5.37		9/15/2039		1,500,000		1,732,440
52108HRB2	LBUBS		3.85		5/15/2027		169,962		170,905
52108MAF0	LBUBS		5.20		11/15/2030		1,450,000		1,614,691
59023BAB0	MERRILL LYNCH MTG TR		5.80		5/12/2039		215,995		216,995
617458AC8	MORGAN STANLEY CAPITAL		3.88		9/15/2047		3,500,000		3,811,710
61745M5G4	MSC		4.89		6/12/2047		500,000		551,530
61745ML43	MSC		5.27		6/13/2041		4,000,000		4,258,320
61750CAF4	MSC_06-HQ9		5.73		7/12/2044		2,550,000		2,945,607
61750HAE6	MSC		5.33		11/12/2041		4,250,000		4,903,310
61750WAX1	MSC		5.33		12/15/2043		1,000,000		1,156,750
61757RAC1	MORGAN STANLEY CAPITAL I MSC_0		5.65		12/15/2044		1,628,294		1,673,202
62888XAC8	NCUA_10-C1		2.65		10/29/2020		9,875,799		10,448,200
90348HAA2	B NATIONALE CDA		1.12		7/15/2024		85,597		82,458

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

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
92935JBC8	WF-RBS_11-C2		4.87		2/15/2044		750,000		880,103
929766UK7	WBCMT_04-C14		5.09		8/15/2041		8,800,000		9,412,128
929766X24	WBCMT_05-C19		4.66		5/15/2044		1,080,786		1,103,050
92976BLJ9	WBCMT		0.30		6/15/2020		2,179,306		2,088,070
92976VAF5	WBCMT		5.92		5/15/2043		6,000,000		6,967,020
92977RAD8	WACHOVIA BANK COMMERCIAL MORTG		6.01		6/15/2045		6,000,000		7,007,760
92978YAB6	WBCMT		5.93		6/15/2049		2,210,425		2,296,300
							283,066,790		308,094,283
Corporate Debt Securities - Financials
001055AH5	AFLAC INCORPORATED		2.65		2/15/2017		250,000		261,791
00163MAL8	PROLOGIS INC		4.50		8/15/2017		250,000		274,234
00448MAA9	ACHMEA HYPOTHEEKBANK N.V. - LT		3.20		11/3/2014		35,216,000		36,910,595
02005NAB6	ALLY FINANCIAL INC		8.30		2/12/2015		3,375,000		3,737,813
025816AU3	AMER EXPRESS BK		6.80		9/1/2066		250,000		268,750
025816AW9	AMERICAN EXPRESS COMPANY		5.50		9/12/2016		4,000,000		4,656,001
0258M0DA4	AMERICAN EXPRESS CREDIT CO		2.75		9/15/2015		12,000,000		12,660,493
0258M0DD8	AMERICAN EXPRESS CREDIT CO		2.38		3/24/2017		9,000,000		9,487,998
0258M0DE6	AMERICAN EXPRESS CREDIT CO		1.75		6/12/2015		250,000		256,257
026874CV7	AMERICAN INTERNATIONAL GROUP I		2.38		8/24/2015		2,850,000		2,879,118
02687QBC1	AMERICAN INTERNATIONAL GROUP I		5.60		10/18/2016		1,500,000		1,700,762
046265AF1	ASTORIA FINANCIAL CORPORATION		5.00		6/19/2017		100,000		104,057
05252ABH3	ANZ MELBOURNE		1.20		1/10/2014		2,675,000		2,689,953
05348EAM1	AVALONBAY COMMUNITIES INC		5.70		3/15/2017		250,000		291,208
05531FAG8	BB&T CORPORATION		3.20		3/15/2016		1,225,000		1,312,934
05531FAL7	BB&T CORPORATION		1.60		8/15/2017		1,800,000		1,831,352
05567L7E1	BNP PARIBAS		2.38		9/14/2017		5,500,000		5,493,458
05567LU54	BNP PARIBAS		3.60		2/23/2016		2,520,000		2,632,180
05571AAB1	GROUP BPCE SA		2.38		10/4/2013		5,310,000		5,348,869
05572FAA1	BNP PARIBAS COVERED BONDS SA		2.20		11/2/2015		10,400,000		10,695,360
05947KAK6	BANCO BRADESCO S.A.		2.54		5/16/2014		700,000		695,591
05956NAB8	BCO CREDITO INVS		3.00		9/13/2017		250,000		251,028
060505AU8	BANK OF AMERICA		5.13		11/15/2014		100,000		107,455
060505CS1	BANK OF AMERICA		5.63		10/14/2016		7,700,000		8,719,349
060505DH4	BANK OF AMERICA		6.00		9/1/2017		250,000		287,983
06050TKN1	BANK OF AMERICA NA (US)		5.30		3/15/2017		250,000		276,774
06051GEA3	BANK OF AMERICA		6.50		8/1/2016		19,000,000		22,039,735
06051GEB1	BANK OF AMERICA		4.50		4/1/2015		1,000,000		1,071,814
06051GED7	BANK OF AMERICA		3.70		9/1/2015		12,100,000		12,782,156
06051GEG0	BANK OF AMERICA		3.63		3/17/2016		3,000,000		3,174,559
06051GEK1	BANK OF AMERICA		3.75		7/12/2016		250,000		265,562
06366QW86	BANK OF MONTREAL		2.50		1/11/2017		500,000		525,299
06366RHA6	BANK OF MONTREAL		1.40		9/11/2017		300,000		300,564
063679JJ4	BANK OF MONTREAL		2.63		1/25/2016		15,600,000		16,662,048
063679ZT4	BANK OF MONTREAL		1.95		1/30/2017		2,600,000		2,725,840
06406HBN8	BANK OF NEW YORK CO		3.10		1/15/2015		4,800,000		5,076,886
06406HBX6	BANK OF NEW YORK MELLON/THE		2.30		7/28/2016		1,500,000		1,571,232
064149A64	BANK OF NOVA SCOTIA		3.40		1/22/2015		250,000		264,777
064149B97	BANK OF NOVA SCOTIA		2.38		12/17/2013		1,000,000		1,022,731
06415CAD1	BANK OF NOVA SCOTIA		1.05		3/20/2015		1,700,000		1,724,701
06415CAE9	BANK OF NOVA SCOTIA		1.75		3/22/2017		6,000,000		6,241,440
064255AB8	BANK OF TOKYO-MITSUBISHI UFJ L		3.85		1/22/2015		8,000,000		8,488,685
064255AH5	BANK OF TOKYO-MITSUBISHI UFJ L		2.35		2/23/2017		7,500,000		7,744,025
06675EAA8	BANQUE PSA FINANCE		3.38		4/4/2014		850,000		826,625

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

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
06739FFZ9	BARCLAYS BANK PLC		5.20		7/10/2014		4,700,000		5,017,073
06739FGP0	BARCLAYS BANK PLC		2.50		1/23/2013		2,000,000		2,012,180
07385TAJ5	BEAR STEARNS CO INC		5.70		11/15/2014		7,225,000		7,921,765
073902PR3	BEAR STEARNS CO INC		6.40		10/2/2017		3,000,000		3,604,766
073902RU4	BEAR STEARNS CO INC		7.25		2/1/2018		4,500,000		5,616,823
09247XAD3	BLACKROCK CREDIT (OFFSHORE)		3.50		12/10/2014		250,000		266,383
097014AN4	BOEING CAPITAL CORPORATION		2.13		8/15/2016		150,000		156,941
10778XAA4	BRFKREDIT AS		2.05		4/15/2013		29,700,000		29,906,391
125577BA3	CIT GROUP INC		5.25		4/1/2014		4,300,000		4,472,000
12572QAD7	CME GROUP INC		5.75		2/15/2014		500,000		535,563
136069DM0	CANADIAN IMPERIAL BANK OF COMM		2.60		7/2/2015		10,500,000		11,107,635
136069EH0	CANADIAN IMPERIAL BANK OF COMM		1.50		12/12/2014		8,000,000		8,194,241
14040HAS4	CAPITAL ONE FINANCIAL CORP		7.38		5/23/2014		500,000		551,503
14040HAX3	CAPITAL ONE FINANCIAL CORPORAT		3.15		7/15/2016		1,000,000		1,067,001
140420MV9	CAPITAL ONE BANK		8.80		7/15/2019		9,000,000		11,771,759
172967BW0	CITIGROUP INC		4.88		5/7/2015		500,000		532,174
172967DY4	CITIGROUP		5.50		2/15/2017		250,000		276,173
172967EY3	CITIGROUP INC		6.38		8/12/2014		8,550,000		9,306,492
172967EZ0	CITIGROUP INC		5.50		10/15/2014		19,150,000		20,646,180
172967FA4	CITIGROUP INC		6.01		1/15/2015		350,000		384,053
172967FW6	CITIGROUP INC		4.45		1/10/2017		11,400,000		12,508,937
172967FY2	CITIGROUP INC		2.65		3/2/2015		5,000,000		5,113,302
172967GB1	CITIGROUP INC		2.25		8/7/2015		250,000		253,389
17313YAL5	CITIGROUP FUNDING INC - GTD		1.88		10/22/2012		27,000,000		27,025,113
20035CAB6	COMERICA BK		5.20		8/22/2017		250,000		284,839
20271RAA8	COMMONWEALTH BANK OF AUSTRALIA		1.95		3/16/2015		4,800,000		4,897,520
20271RAB6	COMMONWEALTH BANK OF AUSTRALIA		1.25		9/18/2015		250,000		251,237
20272BAF1	COMMONWEALTH BANK AUSTRALIA, G		3.63		6/25/2014		40,000,000		42,162,000
20272BAK0	COMMONWEALTH BANK OF AUSTRALIA		2.90		9/17/2014		3,500,000		3,659,110
21685WBL0	RABOBANK NEDERLAND, UTRECHT		2.13		10/13/2015		5,000,000		5,143,417
21686CAD2	RABOBANK NEDERLAND UTREC		3.38		1/19/2017		500,000		531,785
22546QAA5	CREDIT SUISSE GROUP		5.50		5/1/2014		6,500,000		6,954,018
226566AK3	CRICKET COMMUNICATIONS INC.		7.75		5/15/2016		1,000,000		1,058,750
22966RAA4	CUBESMART		4.80		7/15/2022		4,025,000		4,304,298
23329PAA8	DEN NORSKE BANK ASA		3.20		4/3/2017		5,275,000		5,504,590
24422ERQ4	JOHN DEERE CAPITAL CORPORATION		0.88		4/17/2015		7,000,000		7,037,933
2515A14E8	DEUTSCHE BK LDN		3.25		1/11/2016		1,250,000		1,316,387
25214GAA1	DEXIA CREDIT LOCAL/NEW YORK		2.00		3/5/2013		22,000,000		21,971,743
25600WAA8	DNB NOR BLGKRDIT		2.10		10/14/2015		1,000,000		1,037,410
25600WAB6	DNB NOR BLGKRDIT		2.90		3/29/2016		21,800,000		23,218,963
294752AG5	EQUITY ONE, INC.		6.25		12/15/2014		100,000		108,578
302508BA3	FMR CORP		4.75		3/1/2013		1,100,000		1,117,093
316773CK4	FIFTH THIRD BANCORP		3.63		1/25/2016		500,000		538,786
31737UAH1	FINANCE FOR DANISH INDUSTRY IN		2.00		6/12/2013		4,900,000		4,951,195
354613AH4	FRANKLIN RESOURCES INC.		1.38		9/15/2017		3,250,000		3,272,513
36186CBX0	ALLY FINANCIAL INC		2.62		12/1/2014		195,000		191,100
36962G4C5	GENERAL ELECTRIC CAPITAL CORP		5.90		5/13/2014		700,000		757,933
36962G5M2	GENERAL ELECTRIC CAPITAL CORP		2.15		1/9/2015		15,025,000		15,460,168
36962G5N0	GENERAL ELECTRIC CAPITAL CORP		2.90		1/9/2017		750,000		793,908
36962G5W0	GENERAL ELECTRIC CAPITAL CORP		2.30		4/27/2017		5,000,000		5,142,428
36962GK86	GENERAL ELECTRIC CAPITAL CORP		4.75		9/15/2014		2,000,000		2,145,279
37247DAF3	GENWORTH FINANCIAL INC		4.95		10/1/2015		250,000		252,500
38141GEA8	GOLDMAN SACHS GROUP INC		5.13		1/15/2015		200,000		215,029

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

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
38141GEE0	GOLDMAN SACHS GROUP INC		5.35		1/15/2016		1,000,000		1,100,031
38141GEG5	GOLDMAN SACHS GROUP INC		0.82		3/22/2016		8,550,000		8,217,491
38141GEU4	GOLDMAN SACHS GROUP INC		5.63		1/15/2017		250,000		274,308
38143UAW1	GOLDMAN SACHS GROUP INC		5.00		10/1/2014		200,000		213,987
38143USC6	GOLDMAN SACHS GROUP INC		3.63		2/7/2016		8,500,000		8,964,916
40411EAB4	BANK OF SCOTLAND PLC		5.25		2/21/2017		23,605,000		26,952,897
40414LAB5	HEALTH CARE PROPERTY INVESTORS		2.70		2/1/2014		8,875,000		9,045,741
40428HPG1	HSBC USA INC		2.38		2/13/2015		7,500,000		7,712,097
40429CCS9	HSBC FINANCE CORP		5.00		6/30/2015		250,000		269,179
4042Q1AE7	HSBC BANK USA		4.88		8/24/2020		3,500,000		3,745,172
44106MAH5	HOSPITALITY PROPERTIES TRUST		6.30		6/15/2016		250,000		271,982
44328MAH7	HSBC BANK PLC		1.26		1/17/2014		7,500,000		7,538,775
44328MAJ3	HSBC BANK PLC		2.00		1/19/2014		2,000,000		2,029,924
44328MAL8	HSBC BANK PLC		3.10		5/24/2016		2,500,000		2,629,540
449786AM4	ING BANK NV		2.38		6/9/2014		5,925,000		5,982,339
449786AR3	ING BANK NV		2.00		9/25/2015		6,500,000		6,498,142
451102AD9	ICAHN ENTERPRISES LP / ICAHN E		7.75		1/15/2016		855,000		891,338
451102AH0	ICAHN ENTERPRISES LP / ICAHN E		8.00		1/15/2018		370,000		396,825
45324QAC0	ING BANK NV - (LT) GTD		3.90		3/19/2014		600,000		628,368
459745GJ8	INTERNATIONAL LEASE FINANCE CO		5.75		5/15/2016		3,000,000		3,180,720
46623EJE0	JPMORGAN CHASE & CO		2.05		1/24/2014		7,500,000		7,633,153
46625HHR4	JPMORGAN CHASE & CO		3.40		6/24/2015		10,000,000		10,586,388
46625HJA9	JPMORGAN CHASE & CO		3.15		7/5/2016		2,000,000		2,117,916
47102XAF2	JANUS CAPITAL GROUP INC		6.70		6/15/2017		250,000		285,807
472319AJ1	JEFFERIES GROUP INC.		3.88		11/9/2015		250,000		252,500
49326EEC3	KEYCORP		3.75		8/13/2015		500,000		538,612
49446RAH2	KIMCO REALTY CORPORATION		5.70		5/1/2017		250,000		289,951
55607EAL4	MACQUARIE BANK LTD - GTD		3.30		7/17/2014		2,600,000		2,730,416
564759QB7	MANUFACTURERS & TRADERS		5.63		12/1/2021		250,000		255,000
56501RAA4	MANULIFE FINANCIAL CO		3.40		9/17/2015		400,000		417,079
59018YUW9	MERRILL LYNCH & CO INC		5.00		1/15/2015		5,150,000		5,516,600
59156RAH1	METLIFE INC		5.50		6/15/2014		1,200,000		1,293,415
60688QAA3	MIZUHO CORPORATE BANK LTD		2.55		3/17/2017		3,225,000		3,371,936
617446V71	MORGAN STANLEY		6.25		8/28/2017		10,500,000		11,877,164
61746SBR9	MORGAN STANLEY		5.38		10/15/2015		7,000,000		7,477,271
61747WAD1	MORGAN STANLEY		2.88		1/24/2014		2,500,000		2,533,399
61747YCE3	MORGAN STANLEY		6.00		4/28/2015		3,500,000		3,789,011
61747YCK9	MORGAN STANLEY		4.20		11/20/2014		1,100,000		1,142,363
61747YDD4	MORGAN STANLEY		3.80		4/29/2016		9,300,000		9,572,606
61748AAE6	MORGAN STANLEY & CO.		4.75		4/1/2014		250,000		259,018
62914AAB8	NIBC BANK NV - GTD		2.80		12/2/2014		2,300,000		2,392,437
63254AAA6	NATIONAL AUSTRALIA BANK LIMITE		2.00		3/9/2015		5,000,000		5,100,711
63254AAC2	NATIONAL AUSTRALIA BANK LIMITE		1.60		8/7/2015		300,000		302,846
63307A2A2	NATIONAL BK OF CANADA		1.50		6/26/2015		250,000		254,317
637432HT5	NATIONAL RURAL UTILITIES		5.45		4/10/2017		250,000		295,081
637432ML6	NATIONAL RURAL UTILITIES		1.90		11/1/2015		7,000,000		7,210,242
637432MM4	NATIONAL RURAL UTILITIES		1.13		11/1/2013		675,000		679,991
638585AN9	BANK OF AMERICA CORP		7.75		8/15/2015		250,000		282,729
638612AK7	NATIONWIDE FINANCIAL SERVICES		5.38		3/25/2021		5,925,000		6,305,332
65535HAC3	NOMURA HOLDINGS INC		4.13		1/19/2016		500,000		517,841
65557CAA1	NORDEA BANK AB		3.70		11/13/2014		6,000,000		6,275,210
6656P5AA2	NORTHERN ROCK PLC		5.63		6/22/2017		3,900,000		4,427,241
686330AG6	ORIX CORP		3.75		3/9/2017		300,000		309,150

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

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
693476BE2	PNC FUNDING CORP		5.40		6/10/2014		2,000,000		2,154,607
693476BH5	PNC FUNDING CORP		3.63		2/8/2015		1,635,000		1,747,987
69371RK88	PACCAR FINANCIAL CORP		0.75		8/14/2015		500,000		502,417
74157UAG4	PRIMARIS RETAIL REAL ESTATE IN		5.40		11/30/2018		1,250,000		1,347,884
74432QAY1	PRUDENTIAL FINANCIAL INC.		6.10		6/15/2017		100,000		117,337
74432QBL8	PRUDENTIAL FINANCIAL INC.		3.88		1/14/2015		1,500,000		1,591,601
78008TLB8	ROYAL BANK OF CANADA		2.30		7/20/2016		1,000,000		1,041,504
78008TXA7	ROYAL BANK OF CANADA		1.45		10/30/2014		9,900,000		10,065,459
780099CC9	ROYAL BANK OF SCOTLAND PLC THE		2.55		9/18/2015		3,850,000		3,898,422
78010XAG6	ROYAL BANK OF SCOTLAND PLC - G		3.95		9/21/2015		1,500,000		1,590,242
78011DAC8	ROYAL BANK OF CANADA		1.20		9/19/2017		9,600,000		9,665,281
78011HT39	ROYAL BANK OF SCOTLAND		1.83		10/15/2012		20,000,000		20,004,200
78403DAB6	SBA TOWER TRUST		5.10		4/15/2042		5,300,000		5,845,272
78442FBG2	SLM CORP		5.00		10/1/2013		100,000		103,450
78442FCJ5	SLM CORP		5.38		5/15/2014		4,000,000		4,200,000
78442FEK0	SLM CORP		6.25		1/25/2016		750,000		821,250
78442FEM6	SLM CORP		6.00		1/25/2017		250,000		271,250
78442FEN4	SLM CORP		4.63		9/25/2017		250,000		254,250
78442FEP9	SLM CORP		3.88		9/10/2015		200,000		208,000
80282KAB2	SANTANDER HOLDINGS USA INC		3.00		9/24/2015		3,740,000		3,756,581
828807BM8	SIMON PROPERTY GROUP L.P.		5.10		6/15/2015		3,000,000		3,322,377
828807CB1	SIMON PROPERTY GROUP L.P.		6.75		5/15/2014		12,675,000		13,676,768
84603MXU5	SOVEREIGN BANK		8.75		5/30/2018		2,475,000		2,812,608
84650WAB2	SPAREBNK 1 BOLIG		2.63		5/26/2017		11,000,000		11,636,130
84650WAD8	SPAREBNK 1 BOLIG		2.30		6/30/2017		11,700,000		12,208,248
853254AF7	STANDARD CHARTERED PLC		3.85		4/27/2015		5,205,000		5,497,593
865622AU8	SUMITOMO MITSUI BANKING CORPOR		1.35		7/18/2015		8,200,000		8,265,366
865622AV6	SUMITOMO MITSUI BANKING CORPOR		1.80		7/18/2017		250,000		254,266
867914BE2	SUNTRUST BANKS INC		3.50		1/20/2017		500,000		535,451
86960BAB8	SVENSKA HANDELSBANKEN AB		2.88		4/4/2017		7,500,000		7,887,402
87020LAA4	SWEDBANK HYPOTEK AB		2.95		3/28/2016		8,100,000		8,637,760
87020LAB2	SWEDBANK HYPOTEK AB		0.81		3/28/2014		6,700,000		6,655,414
87020LAE6	SWEDBANK		2.13		9/29/2017		5,000,000		5,010,150
90261XGD8	UBS AG STAMFORD BRANCH		4.88		8/4/2020		5,500,000		6,159,396
90261XGX4	UBS AG		2.25		1/28/2014		3,600,000		3,654,762
90345AAC6	US CENTRAL CREDIT UNION - (LT)		1.90		10/19/2012		15,500,000		15,511,780
90520EAC5	UNION BK OF CA NA		3.00		6/6/2016		7,800,000		8,237,307
90520EAE1	UNION BK OF CA NA		2.13		6/16/2017		3,400,000		3,475,869
91159HGY0	US BANCORP		1.38		9/13/2013		5,970,000		6,022,857
91159HHD5	US BANCORP		1.65		5/15/2017		500,000		508,121
91529YAG1	UNUMPROVIDENT CORPORATION		7.13		9/30/2016		250,000		290,307
92890MAA9	WEA FINANCE LLC		3.38		10/3/2022		4,525,000		4,512,506
92933DAA8	WEA FINANCE LLC		7.50		6/2/2014		1,580,000		1,735,397
929903DT6	WACHOVIA CORPORATION		5.75		6/15/2017		17,300,000		20,558,233
949746QU8	WELLS FARGO & COMPANY		3.68		6/15/2016		2,000,000		2,172,867
94974BFE5	WELLS FARGO & COMPANY		1.50		7/1/2015		7,570,000		7,691,021
961214BH5	WESTPAC BANKING CORP		4.20		2/27/2015		1,000,000		1,074,380
961214BV4	WESTPAC BANKING CORP		2.00		8/14/2017		9,125,000		9,239,299
BRSA6EXM7	DYNCORP INTERNATIONAL INC		0.00		7/7/2016		53,226		53,342
BRSAC4WT8	WAHA AEROSPACE BV		3.93		7/28/2020		2,000,000		2,155,000
BRSB44FR8	HARBOURVEST PARTNERS LLC		0.00		12/19/2016		755,386		753,498
BRSB82CD2	NUVEEN INVESTMENT INC		0.00		5/13/2017		2,180,536		2,162,830
BRSBG70Y9	REALOGY		0.00		10/10/2016		391,615		386,231

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

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
BRSBG72X9	REALOGY		0.00		10/10/2016		5,392,049		5,317,909
BRSBHPM99	TRANSUNION CORP		0.00		2/10/2018		2,546,063		2,573,637
BRSBK3FH4	SI ORGANIZATION INC		0.00		11/22/2016		97,386		96,412
BRSBQH2C2	ISTAR FINANCIAL INC.		0.00		6/28/2013		1,527,334		1,529,564
BRSBTCYJ0	ISTAR FINANCIAL INC		0.00		6/30/2014		110,000		109,816
BRSC101R2	SPRINGLEAF FINANCIAL FUNDING C		0.00		5/10/2017		1,880,000		1,839,110
BRSDC7VW9	NUVEEN INVESTMENT INC		0.00		5/13/2017		460,000		462,875
BRSE46SS1	NUVEEN INVESTMENT INC		0.00		2/28/2019		680,000		684,678
BRSE78LL6	NUVEEN INVESTMENT INC		0.00		5/13/2017		449,464		446,282
BRSE9A3G0	DJO FINANCE LLC		0.00		11/1/2016		270,448		270,505
BRSE9BR07	DJO FINANCE LLC/DJO FINANCE CO		0.00		9/15/2017		1,994,975		1,997,967
BRSEFJZK0	INTERNATIONAL LEASE FINANCE CO		0.00		4/12/2016		2,065,000		2,088,231
BRSEJ2MG6	SLS LAS VEGAS		0.00		5/2/2017		175,000		174,125
BRSEL6TA0	EMDEON INC		0.00		11/2/2018		1,987,199		1,997,135
BRSEMA904	ON ASSIGNMENT, INC.		0.00		5/15/2019		361,547		362,451
BRSEU8LC0	CONSTELLIUM		0.00		5/25/2018		897,750		882,039
BRSEUZVD7	RESCAP		0.00		11/18/2013		1,835,000		1,839,588
BRSEV0088	RESCAP		0.00		11/18/2013		175,000		177,406
BRSEVCW87	RPI FINANCE TRUST		0.00		11/9/2018		189,126		190,191
BRSFP5Y76	CNO FINANCIAL GROUP INC		0.00		9/20/2018		1,150,000		1,151,725
G0R55ZLY4	ABBEY NATL TR SVCS PLC		2.30		2/16/2015		2,200,000		3,598,355
G5577Y5Y2	LLYODS TSB BANK PLC - LT GTD		1.50		5/2/2017		3,300,000		5,476,342
N9636WAL1	WHITE NIGHTS FINANCE BV		10.50		3/8/2014		2,400,000		2,676,000
Y4864WAG4	KOREA EXC BK		4.88		1/14/2016		2,000,000		2,175,720
							976,795,104		1,031,764,480
Corporate Debt Securities - Industrials
00037BAA0	ABB FINANCE USA INC		1.63		5/8/2017		3,440,000		3,485,073
00101JAA4	ADT CORP		2.25		7/15/2017		200,000		203,827
00206RAV4	AT&T CO		2.50		8/15/2015		7,200,000		7,565,779
00206RBC5	AT&T INC		1.60		2/15/2017		6,000,000		6,158,682
002447AA8	AWAS AVIATION CAPITAL LTD		7.00		10/17/2016		85,600		90,736
00724FAA9	ADOBE SYSTEMS INCORPORATED		3.25		2/1/2015		200,000		209,122
00817YAK4	AETNA INC		1.75		5/15/2017		750,000		762,150
00846UAF8	AGILENT TECHNOLOGIES INC		2.50		7/15/2013		7,000,000		7,101,010
02364WBC8	AMERICA MOVIL SA		2.38		9/8/2016		1,800,000		1,872,972
02377VAA0	AMERICAN AIRLINES 2011-2 CLASS		8.63		4/15/2023		150,424		160,954
02666QF32	AMERICAN HONDA FINANCE CORPORA		2.38		3/18/2013		1,500,000		1,512,915
031162BF6	AMGEN INC		2.30		6/15/2016		500,000		519,308
031162BQ2	AMGEN INC		2.13		5/15/2017		500,000		515,475
032511AX5	ANADARKO PETROLEUM CO		5.95		9/15/2016		2,450,000		2,833,400
032511BH9	ANADARKO PETROLEUM CO		6.38		9/15/2017		200,000		240,765
032654AE5	ANALOG DEVICES, INC.		5.00		7/1/2014		150,000		162,323
034863AA8	ANGLO AMERICAN CAPITAL PLC		9.38		4/8/2014		6,280,000		6,985,795
03523TAM0	ANHEUSER-BUSCH INBEV WORLDWIDE		4.13		1/15/2015		16,900,000		18,228,009
03523TBA5	ANHEUSER-BUSCH INBEV WORLDWIDE		2.88		2/15/2016		6,000,000		6,386,409
03523TBM9	ANHEUSER-BUSCH INBEV WORLDWIDE		0.80		7/15/2015		100,000		100,248
03523TBN7	ANHEUSER-BUSCH INBEV WORLDWIDE		1.38		7/15/2017		5,000,000		5,045,130
03746AAC4	APACHE FIN CANADA CORP		4.38		5/15/2015		1,020,000		1,112,760
038521AG5	ARAMARK SERVICES INC		3.94		2/1/2015		95,000		94,525
03938LAW4	ARCELORMITTAL		4.75		2/25/2017		1,100,000		1,078,000
04044TAC0	ARISTOTLE HOLDING INC		3.50		11/15/2016		1,500,000		1,612,584
05329WAJ1	AUTONATION INC		6.75		4/15/2018		310,000		348,750
05530QAC4	BAT INTERNATIONAL FINANCE PLC		8.13		11/15/2013		5,255,000		5,669,222

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

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
055451AG3	BHP BILLITON FINANCE (USA) LTD		5.50		4/1/2014		1,750,000		1,875,397
05565QBH0	BP CAPITAL MARKETS PLC		3.88		3/10/2015		6,985,000		7,496,282
05565QBY3	BP CAPITAL MARKETS PLC		1.85		5/5/2017		7,300,000		7,444,194
067901AF5	BARRICK GOLD CORP		2.90		5/30/2016		600,000		627,413
07556QBA2	BEAZER HOMES USA INC		6.63		4/15/2018		425,000		449,438
075887BB4	BECTON DICKINSON AND COMPANY		1.75		11/8/2016		1,000,000		1,023,549
079860AA0	BELLSOUTH CORPORATION		4.02		4/26/2021		14,500,000		14,773,615
097014AK0	BOEING CAPITAL CORPORATION		3.25		10/27/2014		7,000,000		7,397,829
10138MAH8	BOTTLING GROUP LLC		6.95		3/15/2014		7,000,000		7,638,887
110122AS7	BRISTOL-MYERS SQUIBB COMPANY		0.88		8/1/2017		100,000		99,081
111021AG6	BRITISH TELECOMMUNICATIONS PLC		2.00		6/22/2015		2,775,000		2,846,385
115637AK6	BROWN-FORMAN CORPORATION		2.50		1/15/2016		1,000,000		1,031,947
120568AM2	BUNGE LIMITED FINANCE CORP		5.35		4/15/2014		6,024,000		6,352,758
120568AV2	BUNGE LIMITED FINANCE CORP		3.20		6/15/2017		300,000		312,236
12189TBB9	BURLINGTON NORTHERN SANTA FE C		7.00		2/1/2014		250,000		270,898
124857AH6	CBS CORP		1.95		7/1/2017		200,000		204,290
12543DAR1	CHS/COMMUNITY HEALTH SYSTEMS I		5.13		8/15/2018		635,000		658,813
126650BE9	CVS CAREMARK CORP		6.13		8/15/2016		500,000		592,255
126650BH2	CVS CAREMARK CORP		5.75		6/1/2017		750,000		899,481
126650BQ2	CVS PASS-THROUGH TRUST		6.94		1/10/2030		1,966,615		2,362,970
12800UAL4	CAISSE CENTRALE		1.60		3/6/2017		6,000,000		6,197,400
134429AV1	CAMPBELL SOUP COMPANY		3.05		7/15/2017		200,000		215,419
14149YAG3	CARDINAL HEALTH INC		4.00		6/15/2015		750,000		804,485
141781BA1	CARGILL INC		1.90		3/1/2017		6,000,000		6,146,075
14912L4Q1	CATERPILLAR FINL SERV CORP		1.55		12/20/2013		2,000,000		2,027,457
14912L5E7	CATERPILLAR FINL SERV CORP		1.63		6/1/2017		6,000,000		6,107,000
151020AG9	CELGENE CORPORATION		1.90		8/15/2017		300,000		302,784
159864AB3	CHARLES RIVER LABS INTL INC.		2.25		6/15/2013		6,975,000		7,162,070
17275RAC6	CISCO SYSTEMS INC		5.50		2/22/2016		4,300,000		4,985,775
17275RAG7	CISCO SYSTEMS INC		2.90		11/17/2014		1,400,000		1,472,855
18451QAC2	CLEAR CHANNEL WORLDWIDE HOLDIN		9.25		12/15/2017		88,000		94,160
18451QAD0	CLEAR CHANNEL WORLDWIDE HOLDIN		9.25		12/15/2017		848,000		913,720
191216AU4	COCA-COLA COMPANY THE		1.80		9/1/2016		2,000,000		2,074,566
19190AAA5	COFFEYVILLE RESOURCES LLC		9.00		4/1/2015		59,000		62,835
19416QDW7	COLGATE PALMOLIVE CO.		0.60		11/15/2014		250,000		250,950
20030NAB7	COMCAST CORPORATION		6.50		1/15/2015		1,500,000		1,687,664
20030NAL5	COMCAST CORPORATION		5.90		3/15/2016		7,500,000		8,681,207
205363AM6	COMPUTER SCIENCES CORPORATION		2.50		9/15/2015		111,000		113,034
20825CAT1	CONOCOPHILLIPS		4.60		1/15/2015		1,000,000		1,089,352
20825TAA5	CONOCO INC		5.63		10/15/2016		250,000		294,781
21079UAA3	CONTINENTAL AIRLINES		7.25		5/10/2021		4,508,728		5,139,950
21079VAA1	CONTINENTAL AIRLINES INC.		4.75		7/12/2022		2,290,426		2,456,481
222862AH7	COVENTRY HEALTH CARE INC.		6.30		8/15/2014		250,000		271,146
22303QAK6	COVIDIEN INTERNATIONAL FINANCE		2.80		6/15/2015		10,800,000		11,240,966
224044BM8	COX COMMUNICATIONS INC.		5.45		12/15/2014		250,000		275,129
22818VAB3	CROWN AMERICAS LLC/CROWN AMERI		6.25		2/1/2021		500,000		556,250
22822RAZ3	CROWN CASTLE TOWERS LLC		4.88		8/15/2040		5,250,000		5,907,772
233835AW7	DAIMLERCHRYSLER NA HLDG		6.50		11/15/2013		13,100,000		13,949,245
244199BC8	DEERE & COMPANY		4.38		10/16/2019		15,400,000		17,859,309
24422EQY8	JOHN DEERE CAPITAL CORPORATION		2.95		3/9/2015		500,000		527,657
24422ERN1	JOHN DEERE CAPITAL CORPORATION		1.40		3/15/2017		500,000		506,930
24702RAL5	DELL INC		2.30		9/10/2015		4,650,000		4,802,875
247361ZH4	DELTA AIR LINES INC.		4.95		11/23/2020		137,433		147,740

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

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
24736TAA5	DELTA AIR LINES INC.		7.75		6/17/2021		1,642,578		1,864,326
249030AB3	DENTSPLY INTL INC.		2.75		8/15/2016		1,475,000		1,511,538
25179MAM5	DEVON ENERGY CORPORATION		1.88		5/15/2017		300,000		304,515
25243YAR0	DIAGEO CAPITAL PLC		1.50		5/11/2017		2,850,000		2,894,600
25459HAV7	DIRECTV HOLDINGS LL/DIR TV FIN		3.13		2/15/2016		2,400,000		2,525,282
25459HBE4	DIRECTV HOLDINGS LLC/DIRECTV F		2.40		3/15/2017		1,200,000		1,231,703
25468PCG9	WALT DISNEY COMPANY THE		6.00		7/17/2017		150,000		183,598
25468PCS3	WALT DISNEY COMPANY THE		1.13		2/15/2017		500,000		504,156
260543CA9	DOW CHEMICAL COMPANY THE		5.90		2/15/2015		6,900,000		7,688,859
263534BY4	EI DUPONT DE NEMOURS & CO		3.25		1/15/2015		1,000,000		1,058,737
263534CG2	EI DUPONT DE NEMOURS & CO		1.75		3/25/2014		6,838,000		6,970,296
26875PAJ0	EOG RESOURCES INC		1.19		2/3/2014		2,700,000		2,723,004
277432AM2	EASTMAN CHEMICAL COMPANY		2.40		6/1/2017		1,625,000		1,699,612
278642AD5	EBAY INC.		0.70		7/15/2015		250,000		250,968
278642AG8	EBAY INC.		1.35		7/15/2017		3,071,000		3,088,006
27876GBF4	DISH DBS CORP		7.00		10/1/2013		5,000,000		5,250,000
278865AK6	ECOLAB INC.		3.00		12/8/2016		4,500,000		4,795,385
278865AN0	ECOLAB INC.		1.00		8/9/2015		250,000		250,986
291011AZ7	EMERSON ELECTRIC CO		4.13		4/15/2015		1,000,000		1,085,777
292506AA0	ENCANA CORPORATION		5.80		5/1/2014		350,000		374,943
29264FAG1	ENDO PHARMACEUTICALS HLDGS INC		7.00		7/15/2019		1,000,000		1,082,500
29379VAX1	ENTERPRISE PROD OPER LP		1.25		8/13/2015		2,222,000		2,233,891
302182AF7	EXPRESS SCRIPTS, INC.		3.13		5/15/2016		2,400,000		2,534,318
30249UAA9	FMC TECHNOLOGIES, INC.		2.00		10/1/2017		1,650,000		1,667,246
319963BE3	FIRST DATA CORPORATION		6.75		11/1/2020		610,000		603,900
337738AK4	FISERV INC		3.13		6/15/2016		6,025,000		6,314,143
345397VJ9	FORD MOTOR CREDIT COMPANY LLC		8.00		6/1/2014		250,000		277,500
345397VN0	FORD MOTOR CREDIT COMPANY LLC		7.00		4/15/2015		3,400,000		3,816,500
345397WB5	FORD MOTOR CREDIT COMPANY LLC		4.21		4/15/2016		200,000		211,280
345397WC3	FORD MOTOR CREDIT COMPANY LLC		2.75		5/15/2015		250,000		255,313
345397WD1	FORD MOTOR CREDIT COMPANY LLC		3.00		6/12/2017		200,000		203,241
345397WE9	FORD MOTOR CREDIT COMPANY LLC		2.50		1/15/2016		300,000		301,794
35168XAA9	FRAC TECH SERVICES LLC		8.13		11/15/2018		575,000		610,938
35177PAS6	FRANCE TELECOM		4.38		7/8/2014		4,700,000		4,963,818
35177PAU1	FRANCE TELECOM		2.13		9/16/2015		1,000,000		1,027,396
368266AN2	GAZPROM		5.09		11/29/2015		2,750,000		2,932,188
369550AM0	GENERAL DYNAMICS CORPORATION		5.38		8/15/2015		250,000		282,182
370334BF0	GENERAL MILLS INC.		5.20		3/17/2015		500,000		551,442
37373UAA2	GERDAU HOLDINGS INC		7.00		1/20/2020		3,000,000		3,472,500
37373WAA8	METALURGICA GERDAU SA		5.75		1/30/2021		3,300,000		3,580,500
377372AA5	GLAXOSK CAP INC		4.38		4/15/2014		1,400,000		1,483,950
377373AC9	GLAXOSMITHKLINE CAPITAL PLC		1.50		5/8/2017		7,250,000		7,363,257
38259PAC6	GOOGLE		2.13		5/19/2016		500,000		524,954
39153LAB2	GREATBATCH INC		2.25		6/15/2013		3,075,000		3,065,431
404119BK4	HCA INC		7.25		9/15/2020		5,000,000		5,600,000
404121AC9	HCA INC		6.50		2/15/2020		530,000		588,300
41283LAC9	HARLEY-DAVIDSON FINANCIAL		1.15		9/15/2015		8,910,000		8,930,716
428236AQ6	HEWLETT-PACKARD COMPANY		4.50		3/1/2013		2,000,000		2,031,140
428236BP7	HEWLETT-PACKARD COMPANY		3.00		9/15/2016		5,950,000		6,136,081
428302AA1	HEXION US FINANCE CORP		6.63		4/15/2020		245,000		246,838
436440AA9	HOLOGIC INC.		2.00		12/15/2037		8,900,000		8,859,656
437076AR3	HOME DEPOT INC		5.25		12/16/2013		5,600,000		5,927,734
44841AAA6	HUTCHISON WHAMPOA INTERNATIONA		4.63		9/11/2015		3,100,000		3,355,593

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

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
45031TAR5	ITC DELTACOM INC		10.50		4/1/2016		110,000		118,663
451055AC1	ICONIX BRAND GROUP INC		2.50		6/1/2016		4,349,000		4,312,034
452327AC3	ILLUMINA INC		0.25		3/15/2016		8,250,000		7,710,879
457187AA0	INGREDION INC		1.80		9/25/2017		1,200,000		1,202,820
458140AH3	INTEL CORPORATION		1.95		10/1/2016		6,300,000		6,602,328
459200GT2	IBM CORP		1.00		8/5/2013		760,000		764,454
459200GX3	IBM CORP		1.95		7/22/2016		2,000,000		2,083,755
459284AA3	INTERNATIONAL CCE INC		2.13		9/15/2015		1,500,000		1,537,529
460146BU6	INTERNATIONAL PAPER COMPANY		5.30		4/1/2015		250,000		272,839
460690BH2	INTERPUBLIC GRP OF CO, INC.		4.00		3/15/2022		4,000,000		4,180,169
470355AF5	JAMES RIVER COAL CO		4.50		12/1/2015		3,115,000		1,190,288
470355AH1	JAMES RIVER COAL CO		3.13		3/15/2018		5,070,000		1,684,761
478160AX2	JOHNSON & JOHNSON		1.20		5/15/2014		500,000		506,135
494368BB8	KIMBERLY-CLARK CORPORATION		6.13		8/1/2017		250,000		307,242
496902AD9	KINROSS GOLD CORP		1.75		3/15/2028		6,370,000		6,371,911
50075NAX2	KRAFT FOODS INC.		6.75		2/19/2014		9,930,000		10,756,953
50075NBB9	KRAFT FOODS INC.		4.13		2/9/2016		500,000		548,291
50076QAA4	KRAFT FOODS INC.		2.25		6/5/2017		9,100,000		9,415,266
50076QAH9	KRAFT FOODS INC.		1.63		6/4/2015		500,000		507,829
501044CM1	KROGER CO/THE		3.90		10/1/2015		300,000		324,168
502413AW7	L-3 COMMUNICATIONS HOLDINGS IN		3.00		8/1/2035		8,715,000		8,743,149
50540RAK8	LABORATORY CORPORATION OF AMER		2.20		8/23/2017		150,000		151,878
527298AJ2	LEVEL 3 FINANCING INC		4.47		2/15/2015		270,000		267,975
532457BB3	ELI LILLY AND COMPANY		5.20		3/15/2017		250,000		295,278
532716AT4	LIMITED BRANDS		6.63		4/1/2021		410,000		466,375
544152AF8	LORILLARD TOBACCO CO		2.30		8/21/2017		150,000		150,825
548661CY1	LOWES COMPANIES INC		1.63		4/15/2017		800,000		810,161
58155QAC7	MCKESSON CORP		3.25		3/1/2016		2,825,000		3,020,194
582411AJ3	MCMORAN EXPLORATION CO.		4.00		12/30/2017		1,650,000		1,666,500
58405UAF9	MEDCO HEALTH SOLUTIONS INC.		2.75		9/15/2015		2,975,000		3,103,209
585055AP1	MEDTRONIC INC		4.50		3/15/2014		4,700,000		4,951,842
58933YAB1	MERK & CO INC		2.25		1/15/2016		2,019,000		2,105,082
594918AB0	MICROSOFT CORPORATION		2.95		6/1/2014		1,250,000		1,305,240
60871RAB6	MOLSON COORS BREWING		2.00		5/1/2017		1,675,000		1,717,166
629568AT3	NABORS INDUSTRIES INC		9.25		1/15/2019		5,795,000		7,551,005
63946BAA8	NBC UNIVERSAL MEDIA LLC		2.10		4/1/2014		1,250,000		1,277,201
654624AE5	NIPPON TELEGRAPH AND TELEPHONE		1.40		7/18/2017		250,000		252,551
654742AA3	NISSAN MOTOR ACCEPT CO		3.25		1/30/2013		1,250,000		1,258,900
655844BB3	NORFOLK SOUTHERN CORPORATION		5.75		1/15/2016		350,000		401,681
66989HAA6	NOVARTIS CAPITAL CORP		4.13		2/10/2014		250,000		262,287
66989PAA8	NOVATEK FINANCE LIMITED		5.33		2/3/2016		4,000,000		4,261,000
670704AC9	NUVASIVE INC		2.75		7/1/2017		3,955,000		3,791,659
674599CB9	OCCIDENTAL PETROLEUM CORP		1.75		2/15/2017		250,000		255,511
675757AA6	ODEBRECHT DRILL VIII/IX		6.35		6/30/2021		1,940,000		2,177,650
68268NAF0	ONEOK PARTNERS LP		3.25		2/1/2016		1,050,000		1,103,608
68402LAC8	ORACLE CORP		5.25		1/15/2016		500,000		573,297
70336TAA2	PATRIOT COAL CORP		3.25		5/31/2013		4,565,000		684,750
709599AC8	PENSKE TRUCK LEASING COMPANY		3.13		5/11/2015		1,825,000		1,857,978
709599AJ3	PENSKE TRUCK LEASING COMPANY		2.50		3/15/2016		6,775,000		6,701,808
71343PAF8	PEPSIAMERICAS, INC.		4.38		2/15/2014		500,000		525,824
713448BK3	PEPSICO INC		3.75		3/1/2014		7,000,000		7,316,662
713448CA4	PEPSICO INC		0.70		8/13/2015		500,000		500,852
713448CB2	PEPSICO INC		1.25		8/13/2017		500,000		501,637

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

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
714264AF5	PERNOD-RICARD SA		2.95		1/15/2017		2,500,000		2,599,147
717081DA8	PFIZER INC.		5.35		3/15/2015		3,400,000		3,792,196
718172AG4	PHILIP MORRIS INTERNATIONAL		6.88		3/17/2014		7,950,000		8,681,959
718172AJ8	PHILIP MORRIS INTERNATIONAL		2.50		5/16/2016		6,000,000		6,343,696
723787AE7	PIONEER NATURAL RESOURCES COMP		5.88		7/15/2016		250,000		283,750
72650RAX0	PLAINS ALL AMERICAN PIPELINE		3.95		9/15/2015		250,000		267,943
742718DQ9	PROCTER & GAMBLE COMPANY		3.15		9/1/2015		2,300,000		2,467,940
742718DS5	PROCTER & GAMBLE COMPANY		1.80		11/15/2015		1,500,000		1,552,760
74733LAC6	QTEL INTERNATIONAL FINANCE LTD		3.38		10/14/2016		6,100,000		6,362,300
74973WAA5	RTI INTL METALS, INC.		3.00		12/1/2015		1,725,000		1,802,366
755111BS9	RAYTHEON COMPANY		1.63		10/15/2015		3,300,000		3,375,573
75605EBX7	REALOGY CORP		7.63		1/15/2020		385,000		420,613
761735AD1	REYNOLDS GROUP ISSUER INC / RE		6.88		2/15/2021		580,000		609,000
761735AN9	REYNOLDS GROUP ISSUER INC / RE		5.75		10/15/2020		1,810,000		1,805,475
767201AF3	RIO TINTO FINANCE USA LIMITED		8.95		5/1/2014		10,975,000		12,353,229
767201AJ5	RIO TINTO FINANCE USA LIMITED		1.88		11/2/2015		4,900,000		5,043,581
76720AAA4	RIO TINTO FINANCE (USA) PLC		1.13		3/20/2015		1,400,000		1,407,337
77509NAK9	ROGERS COMMUN INC.		5.50		3/15/2014		10,000,000		10,650,099
77531QAM0	ROGERS WIRELESS INC		7.50		3/15/2015		500,000		577,182
78355HJR1	RYDER SYSTEM INC.		3.50		6/1/2017		5,875,000		6,110,936
78355HJS9	RYDER SYSTEM INC.		2.50		3/1/2017		350,000		354,600
78387GAL7	AT&T INC		5.63		6/15/2016		1,600,000		1,863,391
78572MAD7	SABMILLER PLC		6.50		7/1/2016		6,250,000		7,340,075
78573AAB6	SABMILLER HOLDINGS INC		2.45		1/15/2017		3,500,000		3,658,310
786514BQ1	SAFEWAY INC.		6.25		3/15/2014		250,000		264,275
790849AE3	ST. JUDE MEDICAL INC.		3.75		7/15/2014		5,353,000		5,619,158
790849AH6	ST. JUDE MEDICAL INC.		2.50		1/15/2016		5,000,000		5,203,936
80004CAD3	SANDISK CORPORATION		1.50		8/15/2017		1,000,000		1,134,120
801060AA2	SANOFI AVENTIS		1.20		9/30/2014		5,000,000		5,065,468
806854AA3	SCHLUMBERGER INVESTMENT SA		1.95		9/14/2016		1,950,000		2,010,837
80685PAC2	SCHLUMBERGER NORGE AS		1.95		9/14/2016		2,700,000		2,784,236
822582AH5	SHELL INTERNATIONAL FIN BV		3.25		9/22/2015		1,500,000		1,616,576
843452BC6	SOUTHERN NAT GAS CO		5.90		4/1/2017		250,000		290,817
84359YAA4	SOUTHERN PACIFIC RESOURCE CORP		6.00		6/30/2016		350,000		371,538
84359YAB2	SOUTHERN PACIFIC RESOURCE CORP		6.00		6/30/2016		1,800,000		1,902,536
844030AH9	SOUTHERN UNION CO		3.46		11/1/2066		4,850,000		3,867,875
852061AK6	SPRINT NEXTEL CORPORATION		9.00		11/15/2018		370,000		443,075
852061AQ3	SPRINT NEXTEL CORPORATION		7.00		3/1/2020		1,045,000		1,170,400
86074QAF9	STILLWATER MINING COMPANY		1.88		3/15/2028		655,000		652,616
871503AG3	SYMANTEC CORPORATION		2.75		9/15/2015		100,000		103,131
874060AB2	TAKEDA PHARMACEUTICAL CO LTD		1.63		3/17/2017		5,000,000		5,063,567
87612EAP1	TARGET CORPORATION		5.38		5/1/2017		250,000		296,035
878237AF3	TECH DATA CORPORATION		3.75		9/21/2017		3,675,000		3,703,113
87927VAL2	TELECOM ITALIA CAPITAL		4.95		9/30/2014		1,250,000		1,290,625
87938WAJ2	TELEFONICA EMISIONES SAU		4.95		1/15/2015		12,000,000		12,240,000
87938WAN3	TELEFONICA EMISIONES SAU		3.99		2/16/2016		1,000,000		990,000
88033GBP4	TENET HEALTHCARE CORPORATION		6.25		11/1/2018		270,000		297,000
88165FAC6	TEVA PHARMAC FIN		2.40		11/10/2016		600,000		631,020
882508AQ7	TEXAS INSTRUMENTS INCORPORATED		1.38		5/15/2014		200,000		203,182
882508AR5	TEXAS INSTRUMENTS INCORPORATED		2.38		5/16/2016		250,000		263,759
883556AW2	THERMO FISHER SCIENTIFIC INC		2.05		2/21/2014		2,000,000		2,034,734
883556BA9	THERMO FISHER SCIENTIFIC		2.25		8/15/2016		3,850,000		3,975,774
88579YAD3	3M COMPANY		1.38		9/29/2016		250,000		255,934

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

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
88579YAE1	3M COMPANY		1.00		6/26/2017		300,000		301,380
88632QAA1	TIBCO SOFTWARE INC.		2.25		5/1/2032		2,750,000		2,818,035
887317AC9	TIME WARNER INC		5.88		11/15/2016		250,000		294,870
887317AJ4	TIME WARNER INC		3.15		7/15/2015		250,000		265,742
88732JAH1	TIME WARNER CABLE INC		5.85		5/1/2017		250,000		297,619
88732JAQ1	TIME WARNER CABLE INC		8.25		2/14/2014		200,000		219,698
89153VAA7	TOTAL CAPITAL INTERNATIONAL SA		1.50		2/17/2017		500,000		507,224
89153VAC3	TOTAL CAPITAL INTERNATIONAL SA		1.55		6/28/2017		6,500,000		6,610,405
89153VAD1	TOTAL CAPITAL INTERNATIONAL SA		0.75		1/25/2016		7,550,000		7,569,822
89233P4B9	TOYOTA MOTOR CREDIT CORP		3.20		6/17/2015		9,409,000		10,036,963
89233P6D3	TOYOTA MOTOR CREDIT CORP		1.75		5/22/2017		1,000,000		1,025,645
89233P6J0	TOYOTA MOTOR CREDIT CORP		0.88		7/17/2015		150,000		150,684
89378TAB9	TRANSNET LTD		4.50		2/10/2016		5,950,000		6,319,971
896522AF6	TRINITY INDUSTRIES INC		3.88		6/1/2036		2,850,000		2,956,163
90320RAA2	UNITYMEDIA GMBH		8.13		12/1/2017		250,000		270,846
90321NAA0	UR FINANCING ESCROW CORP		5.75		7/15/2018		145,000		152,613
904764AP2	UNILEVER CAPITAL CORP		0.85		8/2/2017		6,275,000		6,207,014
907818CV8	UNION PACIFIC CO		4.88		1/15/2015		250,000		272,998
911312AL0	UNITED PARCEL SERVICE INC		3.88		4/1/2014		350,000		368,225
913017BU2	UNITED TECHNOLOGIES CORP		1.80		6/1/2017		5,500,000		5,679,595
913017BY4	UNITED TECHNOLOGIES CORP		1.20		6/1/2015		3,750,000		3,813,443
91324PAL6	UNITED HEALTH GROUP INC		5.00		8/15/2014		450,000		486,013
91911TAF0	VALE OVERSEAS LIMITED		6.25		1/11/2016		600,000		677,172
91911XAS3	BIOVAIL CORP		7.25		7/15/2022		285,000		300,319
91913YAM2	VALERO ENERGY CORPORATION		6.13		6/15/2017		750,000		905,851
92343VAY0	VERIZON COMMUNICATIONS INC.		3.00		4/1/2016		18,600,000		19,955,824
92343VAZ7	VERIZON COMMUNICATIONS INC.		0.97		3/28/2014		2,000,000		2,015,460
92344SAP5	CELLCO PARTNERSHIP/VERIZON WIR		5.55		2/1/2014		1,500,000		1,595,327
92553PAE2	VIACOM INC		4.38		9/15/2014		200,000		214,493
92553PAG7	VIACOM INC		3.50		4/1/2017		250,000		272,471
92857WAF7	VODAFONE GROUP PLC		5.00		12/16/2013		4,700,000		4,952,090
92857WAP5	VODAFONE GROUP PLC		5.63		2/27/2017		10,300,000		12,210,764
92857WAT7	VODAFONE GROUP PLC		4.15		6/10/2014		500,000		529,478
928670AJ7	VOLKSWAGEN INTERNATIONAL FINAN		1.63		3/22/2015		7,500,000		7,603,262
931142CQ4	WAL-MART STORES INC		3.20		5/15/2014		2,000,000		2,094,787
931142DA8	WAL-MART STORES INC		1.63		4/15/2014		18,714,000		19,111,890
931422AJ8	WALGREEN CO		1.80		9/15/2017		4,500,000		4,568,442
942683AG8	WATSON PHARMACEUTICALS INC.		1.88		10/1/2017		3,000,000		3,032,181
947074AJ9	WEATHERFORD INTL, INC.		6.35		6/15/2017		750,000		867,280
947075AD9	WEATHERFORD INTL INC		6.00		3/15/2018		1,347,000		1,539,443
94770VAF9	WEBMD HEALTH CORP		2.50		1/31/2018		4,100,000		3,397,568
94770VAH5	WEBMD HEALTH CORP		2.25		3/31/2016		4,680,000		4,315,779
94973VAK3	WELLPOINT INC		5.25		1/15/2016		500,000		557,711
96950HAD2	WILLIAMS PARTNERS LP		7.25		2/1/2017		250,000		300,974
980888AC5	WOOLWORTHS LTD		2.55		9/22/2015		4,515,000		4,677,841
983024AE0	WYETH		5.50		2/1/2014		500,000		532,345
983024AJ9	WYETH		5.50		2/15/2016		1,000,000		1,151,343
98310WAH1	WYNDHAM WORLDWIDE CORP		2.95		3/1/2017		250,000		252,228
984121BY8	XEROX CORPORATION		8.25		5/15/2014		1,000,000		1,107,923
98419MAA8	XYLEM INC/NY		3.55		9/20/2016		4,475,000		4,750,633
989194AG0	ZAYO GROUP LLC/ZAYO CAPITAL		8.13		1/1/2020		780,000		854,100
989194AH8	ZAYO GROUP LLC/ZAYO CAPITAL		10.13		7/1/2020		520,000		575,900
BRS3D32G6	GRAY TELEVISION INC.		0.00		12/31/2014		1,473,292		1,470,066

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

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
BRS3GJWJ9	SYNAGRO TECH, INC.		0.00		4/2/2014		226,457		194,753
BRS3H8370	REALOGY		0.00		10/10/2013		134,040		129,460
BRS3H8L05	US AIRWAYS GROUP INC		0.00		3/21/2014		100,000		97,750
BRS3SKNL8	OUTBACK STEAKHOUSE, INC.		0.00		6/14/2014		76,623		76,116
BRS43KVJ9	OUTBACK STEAKHOUSE, INC.		0.00		6/14/2013		7,627		7,577
BRS47V568	CENGAGE (THOMSON LEARNING)		0.00		7/3/2014		177,622		169,074
BRS47V6P5	BIOMET INC		0.00		3/25/2015		651,694		651,452
BRS4BYYS7	SABRE INC		0.00		9/30/2014		94,064		93,745
BRS4QJKV2	FREESCALE SEMICONDUCTOR INC.		0.00		12/1/2016		1,570,000		1,531,739
BRS53RAN5	FIRST DATA CORPORATION		0.00		9/24/2014		31,618		31,515
BRS59XBE5	FIRST DATA CORPORATION		0.00		9/24/2014		70,099		69,871
BRS5LH024	SERVICEMASTER CO		0.00		7/24/2014		2,263,560		2,255,705
BRS5LHF93	ALTEGRITY INC		0.00		2/21/2015		305,000		284,922
BRS5N4E26	FIRST DATA CORPORATION		0.00		9/24/2014		31,061		30,960
BRS5NEVC3	SEQUA CORP		0.00		12/3/2014		3,719,729		3,704,850
BRS6C3V60	HARRAHS OPERATING COMPANY INC.		0.00		1/28/2015		1,321,766		1,280,223
BRS6C4BC7	HARRAHS ENTERTAINMENT INC		0.00		1/28/2015		985,000		954,041
BRS6C4DR2	HARRAHS ENTERTAINMENT INC		0.00		1/28/2015		3,429,080		3,321,304
BRS6UPUC9	COINMACH SERVICE CORP		0.00		11/14/2014		1,393,471		1,340,352
BRS6WT6X0	SERVICEMASTER CO		0.00		7/24/2014		225,410		224,628
BRS6XRBJ8	PQ CORP		0.00		7/30/2014		2,050,363		2,040,624
BRS6ZY780	CENGAGE LEARNING ACQUISITIONS		0.00		7/3/2014		60,465		59,710
BRS740TY5	NEWSDAY LLC		0.00		8/1/2013		1,300,000		1,302,171
BRS748CX8	FEDERAL MOGUL TL		0.00		12/29/2014		1,607,039		1,562,556
BRS748CY6	FEDERAL MOGUL CORP		0.00		12/28/2015		515,967		501,685
BRS75LWJ7	CLEAR CHANNEL COMMUNICATIONS		0.00		1/29/2016		1,204,672		984,145
BRS7BLBL8	CCS CORP		0.00		11/14/2014		1,542,731		1,523,447
BRS7M2KM6	AVAYA INC.		0.00		10/24/2014		1,612,143		1,563,489
BRS8CFLV5	SUNGARD DATA SYSTEMS INC.		0.00		2/28/2016		396,286		396,286
BRS8E88L6	NIELSEN FINANCE LLC		0.00		5/2/2016		1,504,994		1,510,638
BRS8SPPC4	HARRAHS OPERATING COMPANY INC.		0.00		10/31/2016		1,201,338		1,232,021
BRS8ZGYZ5	MICHAELS STORES, INC.		0.00		7/31/2016		2,005,329		2,021,793
BRS9DRSB3	VNGD HLTH HLD II		0.00		1/29/2016		565,897		568,161
BRS9NN9D8	CHARTER COMMUNICATIONS HOLDING		0.00		9/6/2016		1,185,930		1,186,772
BRS9PGQM2	ARAMARK CORP		0.00		7/26/2016		8,639		8,614
BRS9PGR33	ARAMARK CORP		0.00		7/26/2016		131,361		130,977
BRS9S2GC3	AFFINION GROUP		0.00		10/9/2016		289,475		264,401
BRS9SHAY8	HCA INC		0.00		3/31/2017		760,000		760,714
BRS9SYDG7	INTEGRA TELECO		0.00		4/15/2015		171,063		170,065
BRSADEPT3	ALTEGRITY INC		0.00		2/21/2015		874,696		869,955
BRSADRQZ9	VODAFONE AMERICAS FINANCE		0.00		8/11/2015		2,619,149		2,697,723
BRSAGFDE3	CHEMTURA CORPORATION		0.00		8/29/2016		1,685,000		1,699,221
BRSAGM7B1	TOYS R US DELAWR		0.00		9/1/2016		428,127		426,256
BRSAQNGR3	ADVANCE PIERRE FOODS		0.00		9/30/2016		2,037,169		2,041,752
BRSAQNQH4	ADVANCE PIERRE FOODS		0.00		9/29/2017		70,000		70,420
BRSATYGN5	GOODMAN GLOBAL INC		0.00		10/28/2016		2,842,237		2,842,237
BRSAUE236	DAVITA INC		0.00		10/20/2016		1,467,810		1,471,935
BRSAWQ120	UNIVISION COMMUNICATIONS INC.		0.00		3/31/2017		1,496,151		1,476,701
BRSAZMN71	MEDASSETS INC		0.00		11/16/2016		764,271		767,519
BRSAZTC86	COMMUNITY HLTH SYST INC		0.00		1/25/2017		1,227,697		1,231,921
BRSB41VP0	BRESNAN HLDG		0.00		12/14/2017		2,263,035		2,271,521
BRSB5PYE8	INTELSAT JACKSON		0.00		4/2/2018		5,682,337		5,685,916
BRSB93KD0	CONVATEC INC		0.00		12/22/2016		1,375,134		1,376,633

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

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
BRSB93S67	CDW CORPORATION		0.00		7/15/2017		1,795,551		1,768,618
BRSBBKBD9	UCI INTERNATIONAL TL		0.00		7/26/2017		122,813		123,580
BRSBGF0L9	STYRON CORP		0.00		8/2/2017		621,400		594,388
BRSBGXH81	DEL MONTE FOODS CO		0.00		3/8/2018		1,765,404		1,762,244
BRSBH1CU6	J CREW GROUP INC		0.00		3/7/2018		309,217		308,113
BRSBH1FB5	TWCC HOLDING CORP		0.00		2/13/2017		1,003,952		1,008,972
BRSBH7HM6	AVAYA INC.		0.00		10/26/2017		415,721		378,539
BRSBH8VK2	VERTAFORE INC		0.00		7/29/2016		313,613		313,770
BRSBHFX32	AXCAN INTER HLDG		0.00		2/10/2017		2,832,038		2,829,376
BRSBHYHF2	WALTER ENERGY INC		0.00		4/2/2018		1,692,991		1,683,477
BRSBJARY0	INTERACTIVE DATA CORP		0.00		2/11/2018		2,757,627		2,770,257
BRSBK2348	GYMBOREE CORP		0.00		2/23/2018		780,000		759,400
BRSBK71J6	SEAWORLD PARKS & ENTERTAINMENT		0.00		8/17/2017		2,085,835		2,091,487
BRSBK9AU7	TRANSDIGM GROUP INC		0.00		2/14/2017		875,302		879,075
BRSBK9U01	MOMENTIVE PERFORMANCE MATERIAL		0.00		5/5/2015		132,525		127,996
BRSBKZS71	GNC CORPORATION		0.00		3/2/2018		2,165,265		2,163,468
BRSBLUS55	US TELEPACI		0.00		2/23/2017		1,813,513		1,768,175
BRSBLUUU7	MICHAEL FOODS, INC.		0.00		2/25/2018		384,523		386,284
BRSBLZKK9	NBTY, INC.		0.00		10/2/2017		299,439		300,427
BRSBMD3R1	PETCO ANIMAL SUPPLIES, INC.		0.00		11/24/2017		2,109,274		2,115,876
BRSBMSAB5	NEXEO SOLUTIONS LLC		0.00		9/8/2017		1,674,957		1,653,317
BRSBN61P1	TOMKINS PLC		0.00		9/29/2016		1,469,840		1,472,897
BRSBNJXW3	UNIVR		0.00		6/30/2017		789,038		784,549
BRSBPT1D6	GENTEK HOLDING LLC		0.00		10/6/2015		581,157		579,809
BRSBPYY56	ARMSTRONG WORLD INDUSTRIES INC		0.00		3/10/2018		1,282,864		1,284,737
BRSBPZM15	NOVELIS INC/GA		0.00		3/10/2017		1,888,756		1,887,340
BRSBQ1JW5	CALPINE CORPORATION		0.00		4/1/2018		1,286,734		1,287,944
BRSBQ2FS6	SINCLAIR TELEVISION GROUP INC		0.00		10/28/2016		696,994		698,039
BRSBQFU50	IMS HEALTH INCORPORATED		0.00		8/26/2017		2,034,161		2,042,644
BRSBQPW49	UNIVERSAL HEALTH SERVICES INC		0.00		11/15/2016		147,024		147,244
BRSBR2E98	JMC STEEL GROUP		0.00		4/1/2017		767,105		769,507
BRSBR4P35	JO-ANN STORES		0.00		3/16/2018		927,595		927,595
BRSBRMCQ8	WARNER CHILCOTT CORP		0.00		3/15/2018		616,394		616,782
BRSBRMD53	WARNER CHILCOTT CORP		0.00		3/15/2018		308,197		308,391
BRSBRMD95	WARNER CHILCOTT CORP		0.00		3/15/2018		423,771		424,038
BRSBRMFR3	METROPCS WIRELESS INC		0.00		3/19/2018		958,513		957,612
BRSBRN2H7	MEG ENERGY CORP		0.00		3/18/2018		2,002,263		2,007,889
BRSBT2DD8	FIRST DATA CORPORATION		0.00		3/26/2018		5,426,168		5,152,580
BRSBTMS22	WESCO AIRCRAFT		0.00		4/7/2017		556,997		557,565
BRSBW6C87	AMERISTAR CASINOS, INC.		0.00		4/16/2018		540,841		543,410
BRSBWG6S8	DELTA AIR LINES INC.		0.00		4/20/2017		987,742		991,752
BRSBXNF03	AMER ROCK SLT CO		0.00		4/25/2017		1,406,595		1,382,683
BRSBYALT0	EMERGENCY MEDICAL SVCS CORP		0.00		5/25/2018		1,740,375		1,749,616
BRSBZZDX4	GOLDEN LIVING		0.00		5/4/2018		68,609		65,980
BRSBZZFY0	IASIS HLTHCARE CORP		0.00		5/3/2018		1,794,146		1,796,389
BRSC095F6	IPAYMENT INC.		0.00		5/8/2017		775,630		765,935
BRSC103Q2	KAR HOLDINGS		0.00		5/19/2017		1,769,907		1,775,447
BRSC106T3	HCA INC		0.00		5/1/2018		490,000		490,309
BRSC2UZX5	SENSATA TECHNOLOGIES FINANCE C		0.00		5/12/2018		882,146		885,454
BRSC3G4F8	NEIMAN MARCUS GROUP INC. THE		0.00		5/16/2018		1,015,000		1,019,618
BRSC4T6W0	BAKERCORP		0.00		6/1/2018		678,436		678,680
BRSC529Z8	DUNKIN BRANDS INC		0.00		11/23/2017		2,016,746		2,012,329
BRSC5JRR9	TOYS R US DELAWR		0.00		5/25/2018		381,005		373,194

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

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
BRSC5WJ99	ASURION CORP		0.00		5/24/2018		1,821,059		1,831,312
BRSC6D3K2	QUINTILES TRANSNATIONAL CORP.		0.00		6/8/2018		1,398,768		1,403,664
BRSC7W2L8	AWAS AVIATION SERVICES INC		0.00		6/10/2016		1,154,612		1,170,488
BRSC8PKC2	BASS PRO GROUP LLC		0.00		6/13/2017		870,043		878,961
BRSC96U16	LAUREATE EDUCATION INC		0.00		6/15/2018		2,613,566		2,578,439
BRSCB4WP3	AMC NETWORKS INC		0.00		12/31/2018		860,589		860,589
BRSCCYM28	DOLE FOOD CO INC.		0.00		7/8/2018		599,848		601,162
BRSCCZ003	DOLE FOOD CO INC.		0.00		7/9/2018		1,101,316		1,103,728
BRSCESKE5	TEREX CORPORATION		0.00		4/28/2017		1,564,399		1,569,780
BRSCF42A5	INVENTIV HEALTH INC		0.00		5/15/2018		1,317,534		1,274,714
BRSCH2HF0	AUTOPARTS HOLDINGS LTD		0.00		7/29/2017		1,262,250		1,252,783
BRSCHJ8S5	CUMULUS MED INC.		0.00		9/17/2018		1,408,211		1,414,084
BRSCHUN87	SUNCOKE ENERGY INC		0.00		7/26/2018		519,738		519,738
BRSCJ91H6	REYNOLDS GROUP HOLDINGS INC		0.00		8/9/2018		1,118,047		1,123,816
BRSCJS2W0	ACADEMY SPORTS & OUTDOORS INC		0.00		8/3/2018		1,614,234		1,618,270
BRSCL92G4	LEVEL 3 COMMUNICATIONS, INC.		0.00		9/1/2018		2,490,000		2,488,954
BRSCUDB91	NEWPAGE CORP		0.00		3/8/2013		75,000		75,704
BRSCVQWF4	SEALED AIR CORPORATION		0.00		10/3/2018		897,677		901,833
BRSCWX1K1	AVIS BUDGET		0.00		9/22/2018		377,832		379,532
BRSCYASW4	BLACKBOARD INC		0.00		10/4/2018		813,850		819,702
BRSD4PTL5	KINETIC CONCEPTS INC.		0.00		5/4/2018		1,580,220		1,600,304
BRSD5SHT4	UPC FINANCING PARTNERSHIP		0.00		12/31/2017		1,805,000		1,812,220
BRSD65A11	SEQUA CORP		0.00		12/3/2014		1,821,238		1,830,344
BRSD6SNB5	WEB.COM GROUP INC		0.00		10/27/2017		507,804		510,663
BRSD7AYM7	POLYONE CORP		0.00		12/20/2017		272,938		273,893
BRSD853C3	BOYD GAMING CORPORATION		0.00		12/17/2015		1,020,250		1,030,881
BRSD8QGE9	NEUSTAR		0.00		11/8/2018		836,550		841,084
BRSD8RLT8	LEVEL 3 FINANCING INC		0.00		9/3/2018		1,655,000		1,654,305
BRSD8USY3	PHARMACEUTICAL PRODUCT DEV, IN		0.00		12/5/2018		3,305,424		3,333,520
BRSD9CAS4	HEALTH MANAGEMENT ASSOCIATES		0.00		11/16/2018		877,789		883,749
BRSDB2898	NXP BV AND NXP FUNDING LLC		0.00		3/3/2017		628,102		639,878
BRSDFK6A3	NOVELIS INC/GA		0.00		3/10/2017		982,258		983,486
BRSDJ3UC6	LIN TELEVISION CORPORATION		0.00		12/21/2018		605,425		611,479
BRSDJJV71	DATATEL INC		0.00		7/19/2018		1,109,443		1,121,370
BRSDKAKX3	MICHAELS STORES, INC.		0.00		7/31/2016		598,051		602,961
BRSDKUDY5	SIX FLAGS THEME PARKS INC		0.00		12/20/2018		1,830,000		1,837,832
BRSDLMQR3	CAPITAL SAFETY GROUP LTD		0.00		1/19/2019		1,393,000		1,412,154
BRSDT3UA9	CCS CORP		0.00		11/14/2014		655,050		657,100
BRSDT4GL9	KABEL DEUTSCHLAND VERTRIEB UND		0.00		2/1/2019		1,500,000		1,502,505
BRSDTEYU7	CROWN CASTLE OPERATING CO		0.00		1/31/2019		344,514		344,911
BRSDTSN12	EASTMAN KODAK COMPANY		0.00		7/22/2013		547,070		538,180
BRSDU55R3	PRESTIGE BRANDS HOLDINGS INC		0.00		1/31/2019		903,144		911,895
BRSDWEH16	TRANSDIGM INC.		0.00		2/14/2017		257,416		258,811
BRSDWEX75	GRIFOLS INC		0.00		6/1/2017		1,126,832		1,133,177
BRSDWFYW6	VALEANT PHARMA		0.00		2/13/2019		1,830,800		1,835,377
BRSDWXL27	TRONOX INC		0.00		2/8/2018		1,363,725		1,373,953
BRSDYJ7G1	HAWAIIAN TELCOM COMMUNICATIONS		0.00		2/28/2017		1,010,000		1,021,999
BRSDYRD76	EMI MUSIC PUBLISHING LTD		0.00		6/29/2018		1,206,975		1,219,950
BRSDZ46N9	SCHAEFFLER AG		0.00		1/27/2017		770,000		777,223
BRSDZCRW8	SIEMENS FINANCEIERINGSMAATS NV		1.65		8/16/2019		3,500,000		3,523,800
BRSE0V753	AMC ENTERTAINMENT INC.		0.00		2/22/2018		620,313		625,225
BRSE1DX20	TRONOX INC		0.00		2/8/2018		371,925		374,714
BRSE456U2	RAILAMERICA, INC.		0.00		3/1/2019		1,059,675		1,059,675

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

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
BRSE4TDH1	ACCO BRANDS		0.00		5/1/2019		1,808,425		1,817,467
BRSE61FE5	REXNORD CORP		0.00		4/1/2018		2,039,363		2,047,643
BRSE63UD6	CAESARS ENTERTAINMENT INC		0.00		1/28/2018		195,000		176,842
BRSE76GJ1	WEIGHT WATCHERS INTL INC		0.00		3/15/2019		738,038		738,805
BRSE7U0Q9	COMMSCOPE INC.		0.00		1/14/2018		1,136,834		1,139,881
BRSE9A2P1	YANKEE CANDLE CO INC		0.00		4/2/2019		1,194,000		1,203,254
BRSE9C0N4	PROTECTION ONE, INC.		0.00		3/21/2019		920,375		930,729
BRSEC7EU0	PINACLE FOOD FIN		0.00		10/17/2018		1,165,241		1,165,241
BRSECQ3T3	LAWSON SOFTWARE INC.		0.00		4/5/2018		950,000		954,038
BRSEE9HS6	ASCEND PERFORMANCE MATERIALS L		0.00		4/10/2018		2,394,982		2,386,001
BRSEEQB47	TOYS R US DELAWR		0.00		5/25/2018		394,013		386,625
BRSEF3LW4	GOODYEAR TIRE & RUBBER COMPANY		0.00		4/30/2019		1,930,000		1,946,888
BRSEF7SN8	SPIRIT AROSYSTMS		0.00		4/18/2019		467,650		470,718
BRSEFGMT1	CHARTER COM OPER		0.00		5/15/2019		461,971		463,607
BRSEFJZU8	HD SUPPLY		0.00		10/12/2017		5,479,550		5,646,676
BRSEGRYL0	WENDYS INTERNATIONAL INC.		0.00		5/15/2019		2,165,000		2,179,895
BRSEGUX00	99 CENTS ONLY STORES		0.00		1/11/2019		848,598		856,023
BRSEH00P6	TELESAT CANADA		0.00		3/28/2017		1,575,000		1,528,660
BRSEH0S92	CATALINA MARKETING CORPORATION		0.00		9/29/2017		1,177,807		1,167,501
BRSEHTXV4	FREEDOM GROUP INC		0.00		4/19/2019		793,381		798,339
BRSEK97M3	FORMULA ONE GROUP		0.00		4/28/2017		1,816,149		1,832,041
BRSEKNUF1	INEOS US FINANCE LLC		0.00		4/27/2018		3,680,552		3,715,518
BRSEL02X2	BAUSCH & LOMB INCORPORATED		0.00		5/17/2019		3,311,888		3,345,702
BRSELNYG4	INEOS US FINANCE LLC		0.00		5/4/2015		184,075		186,116
BRSEN9666	WABASH NATIONAL CORPORATION		0.00		4/30/2019		1,303,886		1,316,925
BRSERR4P2	HARBOR FREIGHT TOOLS USA INC T		0.00		11/14/2017		710,000		712,513
BRSES26G4	SS&C TECHNOLOGIES INC		0.00		6/7/2019		1,500,746		1,513,878
BRSES4VS6	BURLINGTON COAT FACTORY WAREHO		0.00		2/23/2017		479,898		484,323
BRSESSFB8	CHESAPEAKE ENERGY CORP		0.00		12/2/2017		2,480,000		2,486,324
BRSEVBUR9	GIBSON ENERGY ULC		0.00		6/30/2018		1,843,482		1,861,917
BRSEVD0Q0	SS&C TECHNOLOGIES INC		0.00		6/7/2019		155,250		156,608
BRSEVQ917	WOLVERINE HEALTHCARE ANALYTICS		0.00		6/6/2019		892,763		899,181
BRSEXE1J1	US FOODSERVICE		0.00		3/31/2017		902,532		887,866
BRSEZ4VS8	ZAYO GROUP LLC		0.00		7/2/2019		3,361,575		3,388,905
BRSEZESM3	VALEANT PHARMA		0.00		2/13/2019		773,063		774,995
BRSF04TV9	SAVERS INC		0.00		7/9/2019		1,625,925		1,639,648
BRSF21G05	WOLVERINE WORLD WIDE, INC.		0.00		7/31/2019		860,000		865,590
BRSF2MUR4	AWAS AVIATION CAPITAL LTD		0.00		7/16/2018		85,000		85,000
BRSF33TK2	US RENAL CARE INC		0.00		7/3/2019		1,012,463		1,022,587
BRSF3UA89	SHERIDAN HEALTHCARE INC		0.00		6/26/2018		1,561,088		1,571,500
BRSF652E7	SCHAEFFLER AG		0.00		1/27/2015		480,000		599,779
BRSF6FJZ0	CERIDIAN CORP		0.00		5/9/2017		1,273,243		1,277,750
BRSF7TBV6	WIDEOPENWEST FINANCE LLC		0.00		7/17/2018		837,900		843,975
BRSF89UY2	HOLOGIC INC.		0.00		8/1/2019		3,420,000		3,459,911
BRSF8LRV5	INTELLIGRATED INC		0.00		7/25/2018		700,000		704,375
BRSF9P6B2	PARTY CITY HOLDINGS INC		0.00		7/27/2019		2,375,000		2,402,906
BRSFATQG9	BOOZ ALLEN HAMILTON HOLDING CO		0.00		7/31/2019		1,055,000		1,059,399
BRSFCWCB6	WAVE DIVISION NETWORKS LLC		0.00		8/9/2019		1,250,000		1,263,250
BRSFD9QU9	LEVEL 3 COMMUNICATIONS, INC.		0.00		2/1/2016		1,345,000		1,355,935
BRSFD9W24	LEVEL 3 COMMUNICATIONS, INC.		0.00		8/1/2019		1,100,000		1,104,818
BRSFDBBL0	PILOT TRAVEL CENTERS LLC		0.00		8/1/2019		755,000		759,719
BRSFDC881	AMERICAN CAP STRAT LTD.		0.00		8/22/2016		1,880,000		1,880,000
BRSFEPVD4	DAVITA INC		0.00		8/1/2019		1,685,000		1,686,196

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

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
BRSFFDLB5	WEST CORPORATION		0.00		6/30/2018		1,586,025		1,605,184
BRSFFNE54	NAVISTAR INTERNATIONAL CORP		0.00		9/5/2017		153,767		155,304
BRSFGD3F5	GENPACT LTD		0.00		8/6/2019		1,630,000		1,634,075
BRSFJDVV6	CAPSUGEL HOLDINGS US INC		0.00		8/1/2018		1,698,767		1,703,863
BRSFKSBQ4	EVEREST ACQUISITION LLC		0.00		5/24/2018		3,680,000		3,707,600
BRSFKYGX1	WARNER CHILCOTT CO LLC		0.00		3/15/2018		234,081		234,228
BRSFMRGY2	PHARMACEUTICAL RSRCE INC		0.00		8/2/2019		3,190,000		3,182,823
BRSFNCAU8	IMMUCOR, INC.		0.00		8/19/2018		2,194,575		2,216,521
BRSFP5V79	CNO FINANCIAL GROUP INC		0.00		9/4/2018		845,000		847,113
BRSFP6TT2	CPG INTERNATIONAL INC		0.00		9/18/2019		1,765,000		1,765,547
BRSFPHNX5	NP OPCO LLC		0.00		9/11/2019		1,670,000		1,672,605
BRSFPTRK3	SAMSON RESOURCES CORP		0.00		9/19/2018		600,000		603,252
BRSFQ43Z0	FIRST DATA CORPORATION		0.00		9/13/2018		3,075,000		3,016,052
BRSFQ6PR9	FOXCO ACQSTN SUB		0.00		7/31/2017		1,435,000		1,443,510
BRSFQFK11	BJS WHOLESALE CLUB, INC.		0.00		9/20/2019		850,000		853,188
BRSFRQMG1	REYNOLDS GROUP HOLDINGS INC		0.00		9/17/2018		2,925,000		2,934,389
BRSFS71H3	BJS WHOLESALE CLUB, INC.		0.00		3/29/2019		510,000		514,845
BRSFS74F4	ALKERMES INC		0.00		9/5/2019		400,000		401,500
BRSFSK267	VALEANT PHARMA		0.00		9/19/2019		1,275,000		1,268,625
BRSFTQM53	ADS WASTE ESCROW		0.00		9/21/2019		2,315,000		2,325,140
BRSFTR0V8	INFOR US INC		0.00		4/15/2018		4,261,700		4,272,354
BRSFVG4M5	LEVEL 3 COMMUNICATIONS, INC.		0.00		8/1/2019		4,620,000		4,620,000
L9057MAA9	TNK-BP FINANCE SA		7.50		7/18/2016		2,750,000		3,169,623
							1,113,134,350		1,145,620,964
Corporate Debt Securities - Utilities
037735CQ8	APPALACHIAN POWER COMPANY		3.40		5/24/2015		725,000		759,071
131347BP0	CALPINE CORPORATION		7.25		10/15/2017		315,000		335,869
15234QAJ7	CENTRAIS ELETRICAS BRASILEIRAS		6.88		7/30/2019		3,500,000		4,172,046
196522AK2	COLORADO INTERSTATE GAS CO		6.80		11/15/2015		150,000		173,610
202795HW3	COMMONWEALTH EDISON COMPANY		1.63		1/15/2014		1,600,000		1,621,227
25746UBJ7	DOMINION RESOURCES INC		2.25		9/1/2015		250,000		260,356
25746UBR9	DOMINION RESOURCES INC		1.40		9/15/2017		4,545,000		4,564,449
264399EQ5	DUKE ENERGY CORP		6.30		2/1/2014		4,000,000		4,297,270
26441CAE5	DUKE ENERGY CORP		3.35		4/1/2015		500,000		531,370
26441CAG0	DUKE ENERGY CORP		2.15		11/15/2016		300,000		309,828
26441CAH8	DUKE ENERGY CORP		1.63		8/15/2017		250,000		249,935
26875PAF8	EOG RESOURCES INC		2.95		6/1/2015		4,500,000		4,723,020
283695BP8	EL PASO NATURAL GAS COMPANY		5.95		4/15/2017		150,000		172,556
29268BAE1	ENEL FINANCE INTERNATIONAL SA		5.13		10/7/2019		1,750,000		1,821,814
29269QAA5	ENERGY FUTURE INTERMEDIATE HOL		10.00		12/1/2020		2,650,000		2,974,625
29379VAS2	ENTERPRISE PROD OPER LP		3.20		2/1/2016		300,000		316,212
29977HAC4	EVEREST ACQUISITION LLC/EVERES		6.88		5/1/2019		300,000		321,000
340711AQ3	FL GAS TSMN CO		7.90		5/15/2019		4,560,000		5,912,477
373334JY8	GEORGIA POWER COMPANY		0.75		8/10/2015		300,000		300,764
494550AU0	KINDER MORGAN ENERGY PARTNERS		6.00		2/1/2017		250,000		290,959
50064YAB9	KOREA HYDRO & NUCLEAR POWER CO		3.13		9/16/2015		3,100,000		3,241,267
595620AG0	MIDAMERICAN ENERGY COMPANY		5.95		7/15/2017		200,000		239,636
636274AC6	NATIONAL GRID PLC		6.30		8/1/2016		300,000		348,201
65339KAF7	NEXTERA ENERGY CAPITAL HOLDING		1.20		6/1/2015		2,617,000		2,640,424
69353UAB7	PPL WEM HOLDINGS PLC		3.90		5/1/2016		4,075,000		4,322,445
743263AL9	PROGRESS ENERGY INC.		5.63		1/15/2016		250,000		285,735
74456QAW6	PUBLIC SERVICE ELECTRIC & GAS		2.70		5/1/2015		1,075,000		1,128,250
81013TAB7	SCOTTISH POWER PLC		5.38		3/15/2015		250,000		262,076

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

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
816851AQ2	SEMPRA ENERGY		2.00		3/15/2014		150,000		152,841
816851AS8	SEMPRA ENERGY		2.30		4/1/2017		300,000		309,341
893526DH3	TRANSCANADA PIPELINES LIMITED		3.40		6/1/2015		500,000		534,779
89354FAE1	TRANSCAPITALINVEST LTD FOR OJS		8.70		8/7/2018		1,700,000		2,201,500
976656CA4	WISCONSIN ELECTRIC POWER CO		6.00		4/1/2014		4,500,000		4,838,366
98389BAK6	XCEL ENERGY INC		5.61		4/1/2017		200,000		232,066
BRSAPKET8	GENON ENERGY		0.00		12/4/2017		259,174		260,633
BRSC5VFR5	THE AES CORPORATION		0.00		6/1/2018		1,474,386		1,481,139
BRSCAHX41	CALPINE CORPORATION		0.00		4/1/2018		994,962		995,897
BRSCJPNX1	DYNEGY POWER LLC		0.00		8/5/2016		489,060		512,114
BRSCJPNY9	DYNEGY MIDWEST GENERATION LLC		0.00		8/5/2016		1,634,490		1,707,029
							54,964,072		59,802,196
Asset Backed Securities - Credit Cards
161571CH5	CHAIT		5.12		10/15/2014		1,000,000		1,002,290
161571FJ8	CHASE ISSUANCE TRUST CHAIT_12-		0.79		6/15/2017		1,300,000		1,309,868
17305ECJ2	CCCIT		4.85		3/10/2017		2,000,000		2,211,500
17305ECX1	CCCIT		5.10		11/20/2017		3,000,000		3,419,487
17305EDE2	CITIBANK CREDIT CARD ISSUANCE		5.30		3/15/2018		2,000,000		2,319,281
17305EDT9	CCCIT		6.15		6/15/2039		1,000,000		1,349,950
17305EDY8	CCCIT		5.65		9/20/2019		3,000,000		3,664,327
17305EEE1	CITIBANK CREDIT CARD ISSUANCE		5.35		2/7/2020		436,000		529,909
254683AC9	DCENT_07-A1		5.65		3/16/2020		3,500,000		4,274,261
70659PAD3	PENARTH MASTER ISSUER PENAR_12		0.79		3/18/2014		6,000,000		6,006,160
							23,236,000		26,087,034
Asset Backed Securities - Auto
02005ACC0	AMOT_10-3		1.44		2/15/2017		4,300,000		4,361,318
02005TAD9	ALLYA _11-1		2.23		3/15/2016		6,000,000		6,169,514
03064UAC4	AMERICREDIT AUTOMOBILE RECEIVA		1.23		9/8/2016		945,000		955,724
34529RAD3	FORDO_11-B		1.35		12/15/2016		372,000		378,287
34529UAC8	FORD CREDIT AUTO OWNER TRUST F		0.84		8/15/2016		980,000		985,884
43811AAC0	HAROT		0.88		9/21/2015		5,250,000		5,284,832
43813TAD5	HAROT_11-1		1.80		4/17/2017		1,250,000		1,274,807
44924CAA2	HCAF_10-8A		1.22		9/20/2016		2,275,000		2,263,170
65475QAD3	NISSAN AUTO RECEIVABLES OWNER		1.24		1/16/2018		1,600,000		1,630,757
L2R424AA3	ECAR_12-1		1.37		7/18/2020		2,151,376		2,791,921
Z914KPDA1	ABEST_6		1.62		3/15/2018		1,068,396		1,721,623
Z9195VUA5	CAR_12-F1F		1.38		9/25/2021		5,104,133		6,614,731
							31,295,905		34,432,569
Asset Backed Securities - Student Loans
00432CAZ4	AGSL_03-1		1.70		12/26/2035		4,100,000		3,481,257
00432CBB6	AGSL_03-1		1.72		12/26/2035		3,600,000		3,056,288
00432CBP5	AGSL_03-1		1.04		12/27/2032		5,350,000		4,545,216
041150DJ9	ASLA_10-1		1.33		11/25/2043		5,883,046		5,846,924
10620NAH1	BRHEA_05-3A		0.48		9/25/2023		732,140		729,658
10620NCG1	BRHEA_05-2		1.23		2/25/2030		12,800,000		12,902,528
12556PAC1	CITEL_05-1		0.51		3/15/2026		6,200,000		6,059,322
194262CD1	COLLE_04-1		0.61		4/25/2021		5,471,159		5,416,448
194266AB8	COLLE_05-2		0.57		10/15/2021		119,481		119,384
19458LBA7	COELT_05-A		0.45		12/28/2021		218,542		216,053
26845BAA7	EFSV2_ 2012-1		1.10		7/26/2027		5,239,957		5,283,135
28140VAB9	EFCT_04-1		0.55		12/15/2022		3,663,022		3,639,176
36156HAV0	GCOE_06-1		0.56		5/25/2025		6,629,205		6,399,238
36156HAY4	GCOE_06-1		0.66		5/25/2036		2,200,000		1,889,646

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

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
429827AB4	HEF_10-401		1.73		1/1/2044		2,100,000		1,827,699
429827AE8	HIGHER EDUCATION FUNDING HEF_0		1.74		1/1/2044		2,100,000		1,827,699
429827AF5	HEF_10-401		1.74		1/1/2044		2,100,000		1,827,699
429827AJ7	HIGHER EDUCATION FUNDING HEF_0		1.74		1/1/2044		2,100,000		1,827,699
429827AK4	HIGHER EDUCATION FUNDING HEF_0		1.73		1/1/2044		2,300,000		2,001,766
429827AN8	HEF_04-1		1.73		1/1/2044		2,100,000		1,827,699
429827AQ1	HEF_04-1		1.74		1/1/2044		2,950,000		2,691,146
452281JB5	ILLINOIS STUDENT ASSISTANCE CO		0.93		4/25/2017		1,181,685		1,183,304
57563NAA6	MEFA		1.40		4/25/2038		3,253,704		3,259,659
66704JAZ1	NORTHSTAR EDUCATION FINANCE IN		0.57		4/28/2016		1,185,783		1,184,040
698475AM2	PPHEA_10-2		1.59		10/1/2035		6,372,906		6,465,249
71722TAF1	PHEAA_04-1		1.74		4/25/2044		2,000,000		1,854,800
71722TAG9	PHEAA_04-1		0.07		4/25/2044		6,000,000		5,565,288
78442GHY5	SLMA		1.68		12/15/2016		800,000		800,000
78442GHZ2	SLMA		1.71		12/15/2016		4,000,000		4,000,000
78442GJA5	SLM STUDENT LOAN TR 2003-10A		1.60		12/15/2016		1,000,000		1,000,000
78442GJC1	SLMA		1.71		12/15/2016		50,000		50,000
78442GJD9	SLM STUDENT LOAN TR 2003-10A		1.65		12/15/2016		4,550,000		4,550,000
83149TAA2	SLMA_09-D		3.50		8/17/2043		7,808,953		7,617,055
83715AAK5	SOUTH CAROLINA STUDENT LN CORP		0.90		1/25/2021		3,959,081		3,961,021
86386MAY0	STUDENT LOAN CON		1.44		10/25/2027		40,379,452		40,409,736
B0A0BSZC0	SLMA_03-5		0.52		6/17/2024		1,394,569		1,627,996
U8280TAR8	SLM STUDENT LOAN TR 03-10		0.80		12/15/2027		2,670,000		3,057,110
							164,562,686		160,000,939
Asset Backed Securities - CLO
00083VAA9	ACASC_07-1		0.69		4/20/2021		6,750,000		6,388,841
04010HAB8	ARES CLO FUNDS ARES		0.63		9/18/2017		1,070,726		1,062,179
04010HAC6	ARES_05-10A		0.63		9/18/2017		2,767,309		2,745,220
04011XAB2	ARES		0.68		2/24/2018		7,290,035		7,207,199
04011XAC0	ARES		0.68		2/24/2018		7,787,083		7,650,809
04012VAA7	ARES		1.06		11/25/2020		6,900,000		6,784,080
04963VAC2	ATR_4C-DO		0.66		6/8/2019		4,395,943		4,329,788
05615MAA5	BABSN_05-3A		0.69		11/10/2019		2,901,373		2,788,800
09202XAA2	BLACK DIAMOND CLO LTD BLACK_06		0.70		4/29/2019		3,950,000		3,760,645
16208NAA3	CHAT		0.69		8/3/2019		15,099,396		14,835,157
33736TAB4	FRST_04-2A1		0.70		12/14/2016		569,258		566,614
352569AB3	FCLO_5		0.65		6/15/2018		6,998,194		6,875,726
355524AB5	FRASR_06-1A		0.65		3/15/2020		4,602,267		4,541,963
363206AF0	GALE		0.70		4/19/2021		10,000,000		9,654,640
378663AA6	GLEAG_05-1A		0.72		11/1/2017		8,783,427		8,546,845
38136TAA1	GOLDS_07-5A		1.15		10/18/2021		7,550,000		7,420,034
42822XAA3	HICDO_07-1RA		0.84		11/12/2019		11,496,786		11,012,886
482474AA1	KKR FINANCIAL CLO LTD KKR_05-1		0.72		4/26/2017		507,937		500,953
48248CAA2	KKR FINANCIAL CLO LTD KKR_07-1		0.78		5/15/2021		22,294,108		21,346,608
506828AA0	LAFC_12-1A		1.63		9/6/2022		6,600,000		6,599,227
51506DAA1	LANDM_04-1A		0.74		12/15/2016		5,161,824		5,117,335
51506JAA8	LANDM_05-1A		0.72		6/1/2017		2,614,291		2,571,155
530361AE4	LIBERTY CLO		0.69		11/1/2017		14,590,707		14,003,752
53225UAA9	LIGHT_2005-3		0.65		9/15/2017		3,732,069		3,668,840
730018AA6	PLMR_10-1A		1.94		2/16/2019		1,252,683		1,253,586
87155MAA9	SYMPH_5		1.21		1/15/2024		10,000,000		9,661,230
97314VAA6	WIND RIVER CLO LTD WINDR_04-1A		0.71		12/19/2016		1,526,036		1,495,515
BRS6DUE27	STANFIELD VEYRON		0.68		7/15/2018		19,966,725		19,680,841

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

Cusip	Security Description	Coupon		Maturity		Par		Market Value $
BRSD49XV4	WHITN_04-1X		0.71		3/1/2017		1,598,449		1,592,535
							198,756,627		193,663,005
Asset Backed Securities - Other
00104UAC2	AEPTC TEXAS CENTRAL TRANSITION		2.84		3/1/2026		700,000		745,453
15200DAD9	CENTERPOINT ENERGY TRANSITION		5.17		8/1/2019		1,000,000		1,143,320
15200NAA3	CNP		1.83		2/15/2016		1,292,694		1,317,391
15200NAB1	CNP		3.46		8/15/2019		2,400,000		2,651,855
15200WAC9	CENTERPOINT ENERGY TRANSITION		3.03		10/15/2025		1,100,000		1,190,230
29365KAB9	ETI		3.65		8/1/2019		1,000,000		1,106,014
34528QBK9	FORDF		0.69		1/15/2016		6,050,000		6,075,410
Z914HKQ87	GFUND_11-1		2.22		4/24/2047		4,800,000		7,797,593
							18,342,694		22,027,266
Total Fixed income Securities							7,132,438,730		7,154,945,574
Equities
18802108	ALLIANT ENERGY CORP						157,100		6,816,569
24835100	AMER CMPS COMM						213,800		9,381,544
110122108	BRISTOL MYERS SQUIBB CO						176,000		5,940,000
156700106	CENTURYTEL INC						258,350		10,437,340
173080201	CITIGROUP CAPITAL XIII						200,000		5,570,000
253868103	DIGITAL REALTY						75,350		5,263,198
351858105	FRANCO NEVADA CORP						207,000		12,191,321
391164100	GREAT PLAINS ENERGY INCORPORAT						347,200		7,728,672
438516106	HONEYWELL INTERNATIONAL INC						48,300		2,885,925
478160104	JOHNSON & JOHNSON						124,400		8,572,404
535678106	LINEAR TECHNOLOGY CORP						325,000		10,351,250
589433101	MEREDITH CORP						278,000		9,730,000
595017104	MICROCHIP TECHNOLOGY INC						225,200		7,373,048
646025106	NEW JERSEY RESOURCES						110,100		5,033,772
649445103	NEW YORK COMMUNITY BANCORP INC						650,000		9,204,000
651639106	NEWMONT MINING CORP HOLDING CO						127,500		7,141,275
664397106	NORTHEAST UTILITIES						177,662		6,792,018
718172109	PHILIP MORRIS INTERNATIONAL IN						96,900		8,715,186
718252604	PHILIPPINE LONG DISTANCE TEL C						136,300		8,997,163
723484101	PINNACLE WEST CAPITAL CORP						55,000		2,904,000
729251108	PLUM CREEK TIMBER COMPANY INC.						211,000		9,250,240
754907103	RAYONIER INC.						157,725		7,730,102
771195104	ROCHE HOLDING AG						175,000		8,223,250
780287108	ROYAL GOLD INC						143,600		14,339,896
816851109	SEMPRA ENERGY						141,500		9,125,335
904784709	UNILEVER N.V.						324,500		11,513,260
929042109	VORNADO REALTY TRUST						66,400		5,381,720
962166104	WEYERHAEUSER COMPANY						332,200		8,683,708
976657106	WISCONSIN ENERGY CORPORATION						141,300		5,322,771
00208D408	ARC RESOURCES LTD						290,300		7,060,096
03836W103	PHILADELPHIA SUBURBAN CORPORAT						225,000		5,571,000
09247X101	BLACKROCK INC.						45,000		8,023,500
13643E105	CANADIAN OIL SAND Ltd						360,000		7,693,200
15189T107	CENTERPOINT ENERGY INC.						538,800		11,476,440
16941M109	CHINA MOBILE HONG KONG LIMITED						185,000		10,241,600
17133Q502	CHUNGHWA TELECOM CO. LTD.						271,700		8,626,475
17275R102	CISCO SYSTEMS INC						153,000		2,920,770

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

Cusip	Security Description	Coupon	Maturity	Par		Market Value $
22576C101	CRESCENT POINT ENERGY CORP				166,100		7,337,683
29274F104	ENERSIS S A ADS				220,000		3,605,800
29476L107	EQUITY RESIDENTIAL PROP TR				88,000		5,062,640
30161N101	EXELON CORPORATION				149,000		5,301,420
35671D857	FREEPORT-MCMORAN COPPER & GOLD				160,000		6,332,800
40414L109	HEALTH CARE PROPERTY INVESTORS				188,500		8,384,480
49456B101	KINDER MORGAN HOLDCO LLC				244,000		8,666,880
65473P105	NISOURCE INC				400,200		10,197,096
66987V109	NOVARTIS AG				180,400		11,051,304
67073Y106	NV ENERGY				324,000		5,835,240
69331C108	PG&E CORPORATION				121,000		5,163,070
69351T106	PP&L CO				233,000		6,768,650
71646E100	PETROCHINA CO LTD				59,000		7,620,440
74340W103	PROLOGIS INC				171,000		5,990,130
74460D109	PUBLIC STORAGE INC				40,000		5,566,800
74965L101	RLJ LODGING TRUST				335,197		6,338,575
80105N105	SANOFI AVENTIS				189,300		8,151,258
85771P102	STATOIL ASA				215,000		5,544,850
92276F100	VENTAS, INC.				151,501		9,430,948
98389B100	XCEL ENERGY INC				203,200		5,630,672
G16962204	BUNGE LTD				31,600		3,080,795
S62435862	SINGAPORE AIRPORT TERMINAL SER				3,263,700		7,130,281
S64555303	ICL ISRAEL CHEMICALS LTD				776,000		9,395,870
S65638751	ASCENDAS REAL ESTATE INVESTMEN				1,556,000		3,056,950
SB02PY225	SINGAPORE TELECOM				3,260,000		8,504,117
SB04PZ723	SUNTEC REAL ESTATE INVESTMENT				2,500,000		3,026,412
SB07NL190	JAPAN LOGISTICS FD				302		2,802,622
SB0D6P437	MAPLETREE LG TR				7,000,000		6,419,662
SB23WXW97	PARKWAY HOLDINGS LIMITED				1,285,000		2,079,339
SB29VF024	FRANCO NEVADA CORP				17,100		1,007,703
SB3Z5T149	GARMIN LTD.				108,000		4,507,920
SB61JC671	TREASURY WINE ESTATES LTD.				958,166		5,011,876
SB67C8W83	CRESCENT POINT ENERGY CORP				900		39,816
SBOTLGM70	GZI REAL ESTATE INVESTMENT TRU				8,513,000		4,161,387
Total Equity Securities					40,859,353		490,417,535