Not so bad if you own mortgages that are doing better than Treasuries and are incredibly well hedged by being short Treasuries (via swaptions, swaps, short Ts). Then all you get is a fatter spread on your reinvestment. It's all about basis from here. If mortgages outperform Treasuries then BV will do fine. It's a going forward thing though...the damage to BV has already beend done over the past 5 months.
The treasury yield spike and the resultant MBS price drop was only the last 4 weeks of the first quarter, that is when all the damage took place and cost $3 in BV. In May and so far in June, It has been a straight brutally down 5 weeks that will make the first quarter look like a picnic. Now the preferred stock shows they are desperate for cash, "Mark to Market" and forced liquidation on hedging losses is my quess, THE LAST 5 WEEKS WAS BRUTAL AND CAUGHT THESE BIG PLAYERS WAY OFF GUARD. In time like this, dinosaurs get slaughtered, and this is one HUGE DINOSAUR.
I completely agree with your point about the MBS/Treasury arbitrage. Obviously last quarter some of the damage was due to pay ups, TBA's , etc. that weren't directly sensitive to rates.
Just as there's an arbitrage between Treasuries and agency MBS - there's a similar issue between where AGNC's stock price is and what's actually happened to its book. So the real book may "outperform" the market reaction (or it may not).
There's also a temporal component to the unrealized impairments - they could be restored by less hysteria over the Fed exit as well as a rate decline.
When I checked the 10yr had "soared" 4.9bps today and the 3.5FNMA 30yr was off 2bps, performing per your illustration even without any hedge effect.