Filed Pursuant to Rule 424(b)(3)
                                            Registration Statement No. 333-73410

                          PROSPECTUS SUPPLEMENT NO. 12
                     (To Prospectus Dated November 29, 2001)

                                  $508,842,000

                                 XL CAPITAL LTD
                      Liquid Yield Option(TM)Notes Due 2021
                             (Zero Coupon - Senior)
                   Exchangeable for Class A Ordinary Shares of
                                 XL CAPITAL LTD




     This Prospectus Supplement supplements information contained in that
certain Prospectus dated November 29, 2001, as amended or supplemented, relating
to the potential sale from time to time by the Selling Securityholders of up to
$508,842,000 aggregate principal amount at maturity of Liquid Yield Option(TM)
Notes due 2021 (the "LYONs") of XL Capital Ltd, a Cayman Islands exempted
limited company, issued in a private transaction on September 7, 2001 and Class
A Ordinary Shares, par value US$0.01 each, of XL Capital Ltd (the "Ordinary
Shares"), issuable upon exchange of the LYONs. The LYONs are being offered for
the account of the holders thereof or by their transferees, pledgees, donees or
successors. This Prospectus Supplement is not complete without, and may not be
delivered or utilized except in connection with, the Prospectus, including any
amendments or supplements thereto. Capitalized terms used herein but not defined
have the meanings assigned to such terms in the Prospectus.

     The information contained in the table set forth in the Prospectus under
the caption "Selling Securityholders" shall be deleted and replaced in its
entirety with the information set forth below with respect to the Selling
Securityholders, the respective principal amount at maturity of LYONs owned by
the Selling Securityholders, and the respective principal amount of Notes
offered by the Selling Securityholders hereby. Unless otherwise indicated, none
of the Selling Securityholders has, or within the past three years has had, any
position, office or other material relationship with XL Capital Ltd or any of
its affiliates. Because the Selling Securityholders may offer all or some
portion of their LYONs or the Ordinary Shares issued upon exchange of their
LYONs, pursuant to this Prospectus Supplement, no estimate can be given as to
the amount of the LYONs or the Ordinary Shares issued upon exchange of the LYONs
that will be held by the Selling Securityholders upon termination of any sales.
In addition, the Selling Securityholders identified below may have sold,
transferred or otherwise disposed of all or a portion of their LYONs, or the
Ordinary Shares issued upon



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exchange of their LYONs, since the date on which they provided the information
regarding their LYONs, in transactions exempt from the registration requirements
of the Securities Act.

     Unless otherwise indicated, each Selling Securityholder is offering all
LYONs beneficially owned by them pursuant to this Prospectus Supplement. No
securityholder may offer their LYONs, or the Ordinary Shares issued upon
exchange of their LYONs, pursuant to this Prospectus Supplement until the
securityholder is named as a Selling Securityholder in this Prospectus
Supplement or in another supplement to the Prospectus.





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                                            Aggregate
                                        Principal Amount      Percentage         Number of Our     Percentage of
                                         at Maturity of           of            Ordinary Shares     Our Ordinary
                                        LYONs That May be        LYONs            That May be          Shares
                Name                          Sold            Outstanding           Sold (1)       Outstanding (2)
                ----                          ----            -----------           --------       ---------------

                                                                                          
KBC Financial Products USA
   Inc.....................                     500,000            *                    2,639         *

Deutsche Bank Securities
   Inc.....................                   2,500,000            *                   13,193         *

Bank Austria Cayman Islands
   LTD.....................                   4,650,000            *                   24,538         *

RCG Multi Strategy LP......                     180,000            *                      950         *

Ramius Capital Group.......                     450,000            *                    2,375         *

RCG Latitude Master Fund
   LTD.....................                   1,620,000            *                    8,549         *

UBS AG London Branch.......                   6,508,000            1.3                 34,343         *

Morgan Stanley.............                   8,500,000            1.7                 44,855         *

Goldman Sachs and
   Company.................                  12,500,000            2.5                 65,963         *

S.A.C. Capital Associates,
   LLC.....................                   5,000,000            1.0                 26,385         *

State of Florida, Office of the
   Treasurer...............                   5,000,000            1.0                 26,385         *

Zola Partners, L.P.........                   1,180,000            *                    6,227         *

Salomon Smith Barney, Inc..                   5,000,000            1.0                 26,385         *

Allstate Insurance Company.                     600,000            *                    3,166         *

Allstate Life Insurance
  Company..................                   2,350,000            *                   12,401         *

UBS AG LON F/B/O PB........                   5,992,000            1.2                 31,320         *

Lexington Vantage Fund,
  Ltd c/o TQA Investors,
  LLC.......................                    250,000            *                    1,319         *



                                      -4-


                                            Aggregate
                                        Principal Amount      Percentage         Number of Our     Percentage of
                                         at Maturity of           of            Ordinary Shares     Our Ordinary
                                        LYONs That May be        LYONs            That May be          Shares
                Name                          Sold            Outstanding           Sold (1)       Outstanding (2)
                ----                          ----            -----------           --------       ---------------

Arbitex Master Fund, L.P....                  5,000,000            1.0                 26,385         *

TQA Master Plus Fund, Ltd...                    750,000            *                    3,958         *

Greyhound Lines, Inc. c/o TQA
   Investors, LLC...........                    250,000            *                    1,319         *

NCMIC........................                   225,000            *                    1,187         *

All other holders of LYONs or
   future transferees,
   pledgees, donees, assignees
   or successors of any such
   holders(3)(4)...........                 418,855,000           82.3              2,210,298         1.6

Total......................                 508,842,000          100.0              2,685,159         2.0



*    Less than one percent (1%).

(1)  Assumes conversion of all of the holder's LYONs at a conversion rate of
     5.277 ordinary shares per $1,000 principal amount at maturity of the LYONs.
     This conversion rate is subject to adjustment, however, as described under
     "Description of the LYONs--Conversion Rights." As a result, the number of
     our ordinary shares issuable upon conversion of the LYONs may increase or
     decrease in the future. Does not include our ordinary shares that may be
     issued by us upon purchase of the LYONs by us at the option of the holder.

(2)  Calculated based on Rule 13d-3(d)(i) of the Exchange Act, using 135,841,086
     Ordinary Shares outstanding as of November 4, 2002. In calculating this
     amount for each holder, we treated as outstanding the number of our
     ordinary shares issuable upon conversion of all of that holder's LYONs, but
     we did not assume conversion of any other holder's LYONs. Does not include
     our ordinary shares that may be issued by us upon purchase of the LYONs by
     us at the option of the holder.

(3)  Information about other selling securityholders will be set forth in
     prospectus supplements, if required.

(4)  Assumes that any other holders of LYONs, or any future pledgees, donees,
     assignees, transferees or successors of or from any such other holders of
     LYONs, do not beneficially own any of our ordinary shares other than the
     ordinary shares issuable upon conversion of the LYONs at the initial
     conversion rate.



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     All information in this Prospectus Supplement is as of November 26, 2002.


          The date of this Prospectus Supplement is November 26, 2002.