Two collaterised debt obligations of Bermuda-based Security Capital Assurance, representing $792 million, have been downgraded from AAAs, one to BBB and the other to CCC by Fitch.

In a statement regarding the ratings downgrades and affirmations for global structured finance collateralised debt obligations (SF CDOs), Security Capital Assurance said the two transactions insured by the company represent $792 million in net par insured or approximately 0.5% of SCA's total net par outstanding.

One of the insured transactions of approximately $371 million net par, originally rated AAA by Fitch on June 1, this year, was downgraded to CCC. The other transaction of approximately $421 million net par, originally rated AAA by Fitch on March 29, was downgraded to BBB.

SCA's portfolio contains one other SF CDO rated by Fitch. This transaction of approximately $573 million net par, originally rated AAA by Fitch on June 27, remains under review. A revue of that transaction is expected to be completed by November 21.

The downgrades by Fitch do not trigger any present obligation on the part of SCA to pay claims on these transactions.

Fitch's preliminary observation is that there is a "moderate probability" that SCA may experience pressure in its capital cushion under Fitch's updated stress analysis due to relatively high SF CDO exposures relative to SCA's most recently measured capital cushion.