I don't think the sell off of Mreits today had anything to do with MBB, NLY, the fiscal cliff or anything more complex. It is simply happening because major traders/hedge funds have the ability to manipulate these thinly traded markets for mreits and they are playing on the fear of increased CPR and declining spreads thanks to QE3.
AGNC is now down about 15% since the end of September. However the MBA is stating that refinancing is down 5 consecutive weeks and now sits where it did and the end of August. And avatar is correct, it is good to see stability in MBS prices to prove that QE3 is not compressing spreads. MBS prices are currently slightly lower than where they were at the end of September. So there is a disconnect between what is happening to Mreit PPS vs the underlying securities. It is a buying opportunity but I have no idea where the bottom is.
Its all about QE infinity. The fed has lowered the yield on MBS so much that my portfolio managers will no longer be able to make a decent spread. Dividends are going lower, therefore the price is going lower.
End of story.