The yields on high-yielding mortgage REIT exchange traded funds could move even higher due to some more tough headlines for the group. Already under pressure due to speculation that the Federal Reserve is mulling winding down or an outright end to its asset-buying activities, mortgage REIT ETFs sank Wednesday even though the Fed said it will continue its $85 billion-a-month asset-buying program.

Problem is, at least for ETFs such as the iShares FTSE NAREIT Mortgage Plus Capped Index Fund (NYSEArca: REM), the Fed also said it sees diminished risks to the U.S. economy and labor market. The better the economy, the better the chances that the Fed will wind down quantitative easing. An improving labor market could also give way to higher interest rates, though that scenario is still well into the future. [Mortgage REIT ETFs Hit by Tapering Chatter]

The Fed has previously helped ETFs such as REM and the Market Vectors Mortgage REIT Income ETF (NYSEArca: MORT) by gobbling up $40 billion a month in mortgage-backed securities, but recent interest rate volatility has proven tough to overcome. Adding to income investors’ woes are lower dividends from some important REM and MORT constituents. [ETFs With Double Digit Yields]

On Wednesday, Annaly Capital Management (NYSE: NLY) said it will trim its second-quarter dividend to 40 cents a share from 45 cents. That announcement came after the stock closed below $13 for the first time since early March 2009. The news is not surprising because rising interest rates could crimp the earnings power of mortgage REITs and Annaly’s dividend, in dollar terms, has been trending lower since late 2009.

Annaly’s dividend cut came a day after American Capital Agency (NasdaqGM: AGNC) said it will pay a second-quarter dividend of $1.15 a share, down 16% from $1.25 in the first quarter. American Capital Mortgage (NasdaqGS: MTGE) recently lowered its dividend by 11%.