Update:
Aunque en los BOL encuentro esto:
Cita: SET QUOTED_IDENTIFIER OFF
GO
SET NOCOUNT OFF
GO
USE pubs
GO
CREATE TABLE TestTrans(Cola INT PRIMARY KEY,
Colb CHAR(3) NOT NULL)
GO
CREATE PROCEDURE TransProc @PriKey INT, @CharCol CHAR(3) AS
BEGIN TRANSACTION InProc
INSERT INTO TestTrans VALUES (@PriKey, @CharCol)
INSERT INTO TestTrans VALUES (@PriKey + 1, @CharCol)
COMMIT TRANSACTION InProc
GO
/* Start a transaction and execute TransProc */
BEGIN TRANSACTION OutOfProc
GO
EXEC TransProc 1, 'aaa'
GO
/* Roll back the outer transaction, this will
roll back TransProc's nested transaction */
ROLLBACK TRANSACTION OutOfProc
GO
EXECUTE TransProc 3,'bbb'
GO
/* The following SELECT statement shows only rows 3 and 4 are
still in the table. This indicates that the commit
of the inner transaction from the first EXECUTE statement of
TransProc was overridden by the subsequent rollback. */
SELECT * FROM TestTrans
GO
Revisa el tema "nested transactions" en los BOL