UPDATE: National Securities Downgrades Western Asset Mortgage Capital on Interest Rate Volatility

In a report published on Tuesday, National Securities analyst Boris Pialloux downgraded Western Asset Mortgage Capital (NYSE: WMC) from Buy to Neutral.

In the report, National Securities commented, "WMC stock reacted negatively on 08/06/13 when WMC reported 06/30/13 book value per share of $17.39  down from $19.42 on 03/31/13: Hedges did not offset the sharp decline in MBS prices during Q2’13. We  are downgrading WMC to Neutral as we  are uncertain about the size of net realized losses in early July (vs. 06/30/13 marks). On the other end, we believe that operating metrics may still be strong. Q2’13 Core EPS of $0.94 was above our $0.91 per share estimate. Net portfolio yield rose to 3.14% from 3.04% in Q1’13. Cost of funding rose to -.96% from -0.87% in Q1’13 while leverage ratio  (net of short TBA position)  decreased to 8.2x  debt to equity on 06/30/13 from 8.7x on 03/31/13."

Western Asset Mortgage Capital closed Monday at $16.52.