SCA Stellus Capital Investment Corporation

HAMILTON, Bermuda, March 27 /PRNewswire-FirstCall/ -- Security Capital Assurance Ltd (NYSE:SCA) ("SCA" or the "Company") responded today to Fitch Ratings' ("Fitch") announcement of the completion of its Insurer Financial Strength ("IFS") ratings review for SCA and its major subsidiaries, XL Capital Assurance Inc. ("XLCA") and XL Financial Assurance Ltd ("XLFA"). The Company expressed disappointment with yesterday's announcement of further downgrades of the IFS ratings of XLCA and XLFA to below investment grade. While Fitch has not shared detailed information on its modeling with the Company, we believe that Fitch employed significantly different assumptions in their analysis of the Company's Collateralized Debt Obligation of Asset-Backed Securities ("CDO of ABS") portfolio than the Company did. As explained on the Company's March 14, 2008 fourth quarter 2007 earnings call, SCA conducted a loan level collateral analysis as of year-end 2007 on each of the Company's insured CDO of ABS transactions, and this analysis was substantially corroborated by a highly regarded outside third party. In contrast, of SCA's twenty-five insured CDO of ABS transactions, Fitch has publicly rated just three. Based on its analysis, Fitch's estimate of expected losses on SCA's CDO of ABS portfolio is stated to range between $3.0 billion and $4.0 billion. The Company's comprehensive bottom up analysis of the collateral supporting the CDO of ABS portfolio resulted in the establishment of case loss provisions totaling $838.6 million before reinsurance and $651.5 million after reinsurance in the fourth quarter of last year. Separately, Fitch has indicated that it is discounting the Company's CDO of ABS expected losses over time periods ranging between two and seven years. As of December 31, 2007, the Company estimated that approximately 89% of paid claims associated with its CDO of ABS portfolio are expected to occur between 30 and 40 years into the future. The Company notes that such timing assumptions can have a significant impact on present value calculations and corresponding loss estimates. Lastly, we believe by employing general cumulative loss assumptions Fitch's analysis assumes that all collateral pools will perform the same. In contrast, the Company's loan level collateral analysis develops expected losses on a security by security basis. Further, the Company's analysis takes into account the specific structural aspects of each CDO of ABS transaction that it has insured. SCA notes Fitch's recognition that while it may take time to obtain a favorable ruling associated with SCA's unilateral termination of seven credit default swap contracts with Merrill Lynch, a favorable ruling "could have a meaningful positive impact on the Company's capital position and ratings in the future." About Security Capital Assurance Ltd Security Capital Assurance Ltd is a Bermuda-domiciled holding company whose common shares are listed on the New York Stock Exchange (NYSE:SCA). For more information please visit http://www.scafg.com/. FORWARD-LOOKING STATEMENTS This release contains statements about future results, plans and events that may constitute "forward-looking" statements within the meaning of the safe harbor provisions of the Private Securities Litigation Reform Act of 1995. You are cautioned that these statements are not guarantees of future results, plans or events and such statements involve risks and uncertainties that may cause actual results to differ materially from those set forth in these statements. Forward-looking statements are subject to a number of risks and uncertainties, many of which are beyond the Company's control. These factors include, but are not limited to: recent and future rating agency statements and ratings actions; the outcome of the Company's dispute with Merrill Lynch concerning the Company's termination of seven credit default swap contracts; the Company's ability to successfully implement its strategic plan; higher risk of loss in connection with obligations guaranteed by the Company due to recent deterioration in the credit markets stemming from the poor performance of subprime residential mortgage loans; the suspension of writing substantially all new business and the Company's ability to continue to operate its business in its historic form; the development and implementation of a strategic plan; developments in the world's financial and capital markets that adversely affect the performance of the Company's investments and its access to such markets; the performance of invested assets, losses on credit derivatives or changes in the fair value of credit default swaps; the availability of capital and liquidity; the timing of claims payments and the receipt of reinsurance recoverables; greater frequency or severity of claims and loss activity including in excess of the Company's loss reserves; changes in the Company's reinsurance agreements with certain of its subsidiaries; the impact of provisions in business arrangements and agreements triggered by the ratings downgrades; the impact of other triggers in business arrangements including CDS contracts; changes in regulation, tax laws, legislation or accounting policies or practices; changes in officers; general economic conditions; changes in the availability, cost or quality of reinsurance or retrocessions; possible downgrade of the Company's reinsurers; possible default by the counterparties to the Company's reinsurance arrangements; the Company's ability to compete; changes that may occur in Company operations and ownership as the Company matures; and other additional factors, risks or uncertainties described in Company filings with the Securities and Exchange Commission, including in the Company's Annual Report on Form 10-K for the fiscal year ended December 31, 2007, and also disclosed from time to time in subsequent reports on Form 10-Q and Form 8-K. Readers are cautioned not to place undue reliance on forward-looking statements which speak only as of the date they are made. The Company does not undertake to update forward-looking statements to reflect the impact of circumstances or events that arise after the date the forward-looking statements are made. Contact: Investors Media Frank Constantinople Michael Gormley +1 441-279-7450 +1 441-279-7450 Michele Loguidice +1 212-333-3810 DATASOURCE: Security Capital Assurance Ltd CONTACT: Michael Gormley of Security Capital Assurance Ltd, +1-441-279-7450, ; Michele Loguidice of Brunswick Group for Security Capital Assurance Ltd, +1-212-333-3810, ; Investors: Frank Constantinople of Security Capital Assurance Ltd, +1-441-279-7450, Web site: http://www.scafg.com/

Copyright