It's hard to even guess at NLY at this point, but interest rates increasing by 75 basis points should increase net interest income by 20%, while damaging book value some unknown amount. Kain indicated that much recently.
The difficulty is even guessing at BV, which should drop 3%, but future quarters are likely already completely hedged out (the risk I mean) by selling MBSs. It's impossible to know... contrary to the less than rigorous analysis you will find from "analysts"
In Sept 30, 08 BV was 12.67, by Dec 31 08 it was 12.87 and by March 09 it was 14.67. Shortly after Dec 31st 08 the stock price of NLY was $15.25 PPS, or around a 20% premium over the BV.
Granted those were extreme circumstances, of high volatility (sounds familiar)
It will be extremely difficult to justify a price below $12 unless Q2 earnings are horrible (like the worst NLY has ever reported) which seems unlikely. $12 off even the most bearish BV prediction (which I believe is $14.25, a drop of almost 10%) would be a 17% discount on the book value. However, considering NLY dropped only 4.1% in BV in Q1 from Q4 '12. It's difficult to fathom a 10% BV drop from Q1 numbers at all, as this would beat even AGNC's suspected numbers and they are much worse off. Kain has been talking about interest hedging at the beginning of March of this year to prevent serious BV drop... that was way before this June interest fall out.
The sort of persistent BV declines that are often sited on SA as a necessity (where BV drops to say, $11.8/share by Q1 2014) are based upon nothing at all, but particularly not based upon what is actually going on with NLY.