I believe that AGNC needs to plan for higher rates which means that they need to have a war chest. So I suspect that they will try to keep more money than they take it. However if the larger spreads they are getting on new loans allows them to accomplish this then maybe the dividend will remain unchanged. However I doubt they are making so many new loans that it has made a large enough difference to be significant so a decline in the dividend would not be a surprise to me. But at this point it is impossible to know until they tell us because the situation in the short term is too complex to speculate on with any degree of accuracy.
That said, it has been AGNCs mode of operation to change dividends slowly. So I would expect the quarter after a dividend decline to be unchanged. If they do lower it then I guess that means they are really expecting a hurricane of events on the horizon. That would be telling indeed. My guess is that if they lowered the dividend two quarters in a row then the shorts would see that as a sign. But you might want to look at what the other mREITs have done, which is not to change their dividend. So if you held a gun to my head and said guess and I will shoot you if you are wrong or do nothing, then I would guess that it will be unchanged based on past behavior and the behavior of other mREITs alone. And of course this will be received positively with a small increase in the stock price. Shorts should be leary under that scenario. So I personally would not be holding a short position prior to the dividend announcement with this in mind.
REITs pay out at least 90% of profits as dividends. That is there key defining feature. Last 4 quarters earnings were 0.64; 0.97; 0.81; 0.86. Average = 0.82. Unless they're banking a bundle of bucks so far this quarter, or they've got some reserve that was put away for a rainy day, I think we're staring at 0.75 dividend.