Seeing 36+ almost unlikely, giving it a 5% chance getting there.
My guess is 32-33;
AGNC acting like a dividend cut coming and fiscal cliff resolution means higher interest rates
More concern is how much lower will AGNC go: 26-28, or the bottom already made.
GLTA long and shorts
agnc is mainly concerned with increases in 'short term rates'. Of course increases in long term rates - if it spills over to mtg rates (hard to know with the Fed distorting the mkt) - will decrease book value of existing mbs portfolio. That decrease in the BV of the mbs portfolio will, however, be offset to some extent, by the increase in the value of the long term interest rate hedges that AGNC has in place to protect against rates going up ... mainly to protect their ability to cheaply fund their borrowing costs. They've extended the duration of their hedges and extended the duration of their short term funding so they have some protection against rates going up, but the cost of funding and - more importantly the cost of hedging - will go up as well.
Long story short - AGNC and the mreits will likely benefit if long term rates go up 'slowly' while the Fed keeps short term rates low. This will allow AGNC to adjust its portfolio to take some profits on existing mbs and purchase higher rate mbs to replace same - but remember they are competing against the Fed for new issuance - and refi issuance will drop off precipitously if rates rise so the Fed's share of the mkt will be even bigger. As such - I don't anticipate mtg rates going up all that much until the Fed exists or reduces its purchases.