Lower mbs prices can certainly mean a reduced book value, especially when mbs prices decline much more than treasury prices as in the first quarter. Potential capital gain income also declines with lower prices. However, mbs declines that largely match UST declines are mostly hedged and should have only a limited impact. Lower mbs prices will certainly result in wider spreads on new purchases given there has been virtually no move in very short-term rates. This will lead to significantly higher spread income going forward.
I have seen the AGNC interest sensitivity chart quoted on several messages with the idea that lower prices (higher rates) will reduce spread income. Evidently these posters are not aware that these exhibits are usually bases on parallel yield curve shifts, meaning the the entire curve, from the shortest to longest points shift simultaneously up 100 basis points. However, as the short end where AGNC borrows has not shifted with longer rates the result is actually an opportunity to grow spread income, in this case given the severity of the mbs price decline, substantially.
Well, that wouldn't surprise me. But the question is when to we find out because it is the uncertainty that is weighing on the stock. Eventually the market in MBS will stabilize and then you will see interest re-emerge in these MREITS. Expecting this should eventually trade up into the $28 area but the first step is the dividend announcement.
My thinking would be if management was going to keep the dividend at $1.25 then we should hear something by Thursday. The longer they wait the more selling pressure will be on agnc and mtge and lets hope they don't announce on Friday after hours 9 out of 10 times that would mean bad news like a dividend cut.
However my gut feeling is the dividend will remain the same.