XL Capital Ltd Reports Operating Results (10-Q)
Xl Capital Ltd has a market cap of $6.15 billion; its shares were traded at around $17.99 with a P/E ratio of 6.7 and P/S ratio of 1. The dividend yield of Xl Capital Ltd stocks is 2.3%.XL is in the portfolios of HOTCHKIS & WILEY of HOTCHKIS & WILEY Capital Management LLC, Richard Snow of Snow Capital Management, L.P., David Tepper of APPALOOSA MANAGEMENT LP, RS Investment Management, Charles Brandes of Brandes Investment, Jeremy Grantham of GMO LLC, George Soros of Soros Fund Management LLC, Steven Cohen of SAC Capital Advisors.
Highlight of Business Operations: 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 March 31, 2010, the Companys exposure to private investments was $332.1 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 $822.7 million making up approximately 2.3% of the total investment portfolio (including cash and cash equivalents, accrued investment income and net payable for investments purchased) at March 31, 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. The VaR associated with the alternative investment portfolio at March 31, 2010 based on a 95% confidence level with a one year holding period, excluding foreign exchange risk, was approximately $53.3 million.
At March 31, 2010, bond and stock index futures outstanding had a net long position of $145.5 million as compared to a net long position of $81.8 million at December 31, 2009. A 10% appreciation or depreciation of the underlying exposure to these derivative instruments would have resulted in realized gains or realized losses of $14.6 million at March 31, 2010 and $8.2 million at December 31, 2009, respectively. The Company may reduce its exposure to these futures through offsetting transactions, including options and forwards.
The VaR of the investment portfolio at March 31, 2010, based on a 95% confidence level with a one year holding period, excluding foreign exchange risk, was approximately $1,035.3 million as compared to $1,415.0 million at December 31, 2009. The VaR of all investment related derivatives excluding investments in affiliates and other investments was approximately $36.6 million as at March 31, 2010 as compared to $44.5 million at December 31, 2009. The Companys investment portfolio VaR as at March 31, 2010 is not necessarily indicative of future VaR levels.
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