CYS Investments, Inc. (CYS)

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UGH! "As if that news wasn't bad enough, book value took a nasty hit, too. The drop from $12.87 at the end of March to $10.20 at the end of June was huge, even considering the $0.34 dividend paid on June 10. Earlier in the day, Deutsche Bank had downgraded a handful of mREITs, including Western Asset Mortgage (NYSE: WMC ) , based on book value declines of up to 16% during the second quarter. CYS, even factoring in its payout, suffered a drop of closer to 19%."

http://www.fool.com/investing/general/2013/07/19/cys-loses-now-all-mortgage-reits-must-pay.aspx