Mortgage REITs can be volatile investments given the nature of their business. Generally speaking, they are leveraged spread investors, funding their portfolio at one rate (often in the repo markets) and investing at a higher rate (in the mortgage markets). Any change in the dynamics of their business - funding rates, investment rates, mortgage rates (which influence the decision to refinance - faster prepays - or keep the note - slower prepays), yield curve shape (which influences the spread between funding and investment) or hedge effectiveness - will affect the amount of funds available for