The issues of privacy and security in wireless communication networks have taken on an increasingly important role as these networks continue to be deployed worldwide. Traditionally, security is viewed as an independent feature addressed above the physical layer and all widely used cryptographic protocols are designed and implemented assuming that the physical layer simply provides an error-free link. However, with the emergence of ad-hoc and decentralized networks, higher-layer techniques, such as encryption, are becoming complex and hard to be implemented, in particular in handy devices. Recently attention was moved to study the fundamental ability of the physical layer to provide secure wireless communications. In this contribution, we analyze, from an information-theoretic perspective, the performance of the Noise-Loop (NL) modulation, a physical-layer security technique previously presented in [1]. The capacity as well as the secrecy capacity of the NL modulation are derived and compared to a generic Gaussian channel. The results show that the proposed NL technique is able to produce a full-secrecy rate radio communication link.