XL Capital Ltd (NYSE:XL) filed Quarterly Report for the period ended 2010-09-30.
Xl Capital Ltd has a market cap of $7.2 billion; its shares were traded at around $21.13 with a P/E ratio of 7.5 and P/S ratio of 1.2. The dividend yield of Xl Capital Ltd stocks is 1.7%.XL is in the portfolios of HOTCHKIS & WILEY of HOTCHKIS & WILEY Capital Management LLC, James Barrow of Barrow, Hanley, Mewhinney & Strauss, Richard Snow of Snow Capital Management, L.P., Charles Brandes of Brandes Investment, Diamond Hill Capital of Diamond Hill Capital Management Inc, Steven Cohen of SAC Capital Advisors, Jeremy Grantham of GMO LLC, George Soros of Soros Fund Management LLC.
Highlight of Business Operations:The Companys equity investment portfolio as well as other investments, primarily representing certain derivatives and certain affiliate investments, are exposed to mark to market movements associated with equity price risk. Equity price risk is the potential loss arising from changes in the market value of equities. At September 30, 2010, the Companys equity portfolio was approximately $19.0 million as compared to $12.0 million at December 31, 2009. This excludes fixed income fund investments that generally do not have the risk characteristics of equity investments. At September 30, 2010 and December 31, 2009, the Companys direct allocation to equity securities was a negligible percentage of the total investment portfolio (including cash and cash equivalents, accrued investment income and net payable for investments purchased). The Company also estimates the equity risk embedded in certain alternative and private investments. Such estimates are derived from market exposures provided to the Company by certain individual fund investments and/or internal statistical analyses.
The Companys private investment portfolio is invested in limited partnerships and other entities which are not publicly traded. In addition to normal market risks, these positions may also be exposed to liquidity risk, risks related to distressed investments, and risks specific to startup or small companies. At September 30, 2010, the Companys exposure to private investments was $320.3 million, as compared to $322.4 million at December 31, 2009.
The Companys alternative investment portfolio, which is exposed to equity and credit risk as well as certain other market risks, had a total exposure of $917.8 million making up approximately 2.6% of the total investment portfolio (including cash and cash equivalents, accrued investment income and net payable for investments purchased) at September 30, 2010, as compared to December 31, 2009, where the Company had a total exposure of $800.2 million representing approximately 2.4% of the total investment portfolio.
At September 30, 2010, bond and stock index futures outstanding had a net long position of $71.9 million as compared to a net long position of $81.8 million at December 31, 2009. The Company may reduce its exposure to these futures through offsetting transactions, including options and forwards.
The interest rate, spread risk, and VaR referenced in the table below include the impact of market movements on the Companys held to maturity fixed maturities from the Companys Life investment portfolios. While the market value of these holdings is sensitive to prevailing interest rates and credit spreads, the Companys book value is not impacted as these holdings are carried at amortized cost. At September 30, 2010, if the Company were to exclude these impacts in order to present the impact of these risks to the Companys book value, the interest rate risk would be reduced by approximately $312.3 million, absolute spread risk would be reduced by approximately $214.1 million, relative spread risk would be reduced by approximately $18.8 million, and VaR would be reduced by approximately $418.2 million.
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