moderate - Agency mREITs are less tied to GDP growth than equity REITs but are indirectly affected through housing market activity. Strong economic growth typically leads to Fed tightening (negative for spreads) but also supports home prices and mortgage credit quality. Recessions often bring Fed easing (positive for spreads) but increase prepayment uncertainty and volatility.

extreme - This is the dominant risk factor. Rising rates compress book value as MBS prices fall (negative convexity), though higher forward rates eventually improve reinvestment yields. Falling rates boost book value but accelerate prepayments, forcing reinvestment at lower yields. The company uses interest rate swaps and swaptions to hedge, but perfect hedges are impossible due to basis risk and convexity. A 100bp parallel rate shift can impact book value by 10-15% despite hedges. Flattening yield curves are particularly damaging as they compress net interest spreads.

dividend - Retail and income-focused investors attracted by 10-15% dividend yields, though sustainability is questionable. Also attracts tactical traders playing interest rate volatility and mean reversion in book value. Long-term institutional ownership is limited due to structural headwinds and lack of competitive differentiation. Not suitable for investors seeking capital appreciation or stable NAV.