インベスコ・モーゲージ・キャピタル（IVR）2026年第3四半期決算説明会：純資産価値が16.1%減少

Invesco Mortgage Capital（NYSE: IVR）は、米国債利回りの急上昇と金利ボラティリティの高まりがエージェンシー住宅ローン担保証券（MBS）の評価額を圧迫したため、2026年第3四半期は厳しい業績となったと発表しました。

要点

• IVRのトータル経済リターンはマイナス11.6%となりました。これには1株あたり0.12ドルの月次配当と、1株あたり純資産価値の16.1%の下落が含まれます。
• 分配可能利益（EAD）は、主に金利スワップ・ポートフォリオのリポジショニングにより、第2四半期の0.50ドルから1株あたり0.47ドルへと減少しました。
• 総額80億ドルの投資ポートフォリオの内訳は、66億ドルのエージェンシーRMBS特定プール、7億ドルのエージェンシーTBA、および7億ドルのエージェンシーCMBSでした。
• 経済的レバレッジは7.5倍から8.3倍に上昇した一方、使途制限のない現金および非担保投資資産は合計約4億100万ドルとなり、総資本の44%に相当しました。
• 四半期開始来の1株あたり純資産価値は約4%増加しました。未払い配当を含めると、経営陣はトータル経済リターンを約6%と推計しています。
• 経営陣は、スプレッドの拡大、予想リターンの改善、ならびにGSE、銀行、運用会社からの潜在的需要を挙げ、エージェンシーRMBSおよびエージェンシーCMBSの見通しを建設的（前向き）であると説明しました。

主要財務データ

事業およびポートフォリオの業績

当四半期中、米国債利回りは急上昇しました。2年債利回りは70ベーシスポイント（bp）以上上昇し、10年債利回りは80bp以上上昇しました。MOVE指数は第2四半期末の83から110へ上昇しました。

金利ボラティリティの上昇により投資家需要が減退し、ヘッジファンドのデレバレッジやコンベックス性に起因する売却につながったため、エージェンシーRMBSは米国債を大幅にアンダーパフォームしました。エージェンシーCMBSのスプレッド拡大は緩やかにとどまり、ポートフォリオの分散効果をもたらしました。

IVRはポートフォリオにおける特定プールの比率を73%から83%に引き上げました。買入れは主に表面利率5.5%および6%の30年物証券を中心に行われました。また同社は、金利ボラティリティへの感応度を低下させるため、エージェンシーTBAエクスポージャーの一部を特定プールへ移行させました。

エージェンシーTBAのアロケーションは14.7%から8.3%に減少した一方、エージェンシーCMBSは11.1%から8.5%に減少しました。経営陣はいずれも中核的な保有資産であり続けると述べています。スワップでヘッジされたカレントクーポンの特定プールは、レバレッジ後グロスリターンで10%台後半から約20%のROEを提供し、厳選されたエージェンシーTBAポジションは10%台後半から20%台前半のリターンを提供しました。

IVRは、市場利回りが6%〜7%に低下し非レバレッジ資産としての魅力が薄れたため、残っていたエージェンシーIO（金利のみ）ポジションを全て売却しました。売却代金は30年物6.5%のエージェンシーTBAに再投資され、経営陣によると良好なドルロール調達環境により20%を超えるROEが得られるとのことです。

経営陣の見通し

経営陣は、エージェンシーRMBSおよびエージェンシーCMBSに対して中長期的に前向きな見方を維持しました。足元のスプレッド拡大により予想リターンと相対的価値が改善しており、またリスク重視の市場環境において政府保証と高い流動性がエージェンシーMBSの魅力を支えています。

スプレッド正常化の潜在的なカタリストとしては、金利ボラティリティの低下、金融政策の透明性向上、地政学的緊張の緩和などが挙げられます。また経営陣は、GSE、銀行、運用会社からの潜在的な需要の下支えも期待しています。

同社は慎重なレバレッジ水準、十分な流動性、およびポートフォリオの分散を維持する計画です。経営陣は現在のリスクポジションに懸念はないとし、積極的なレバレッジ引き上げは目指していないものの、モーゲージスプレッドが再び拡大した場合には、より高いレバレッジを許容する可能性があることを示しました。

リスクと注視事項

• 米国債利回りや金利ボラティリティのさらなる上昇は、エージェンシーRMBSの評価額および純資産価値を圧迫する可能性があります。
• インフレの不確実性と米連邦準備制度理事会（FRB）の政策軌道は、引き続きモーゲージスプレッドの主要な決定要因です。
• 地政学的な不安定さ、特に中東情勢は、市場のボラティリティを長引かせる可能性があります。
• レバレッジの上昇により、モーゲージスプレッドの変化に対するIVRの感応度が高まりました。
• 当四半期中、銀行や海外投資家からの追加的なMBS供給が需給バランスの重荷となりました。
• 経営陣は、足元の信用市場におけるストレスが金利ボラティリティの急速な低下につながるとは限らないと指摘しました。

アナリスト質疑応答の要点

配当方針：経営陣は市場環境、足元の業績、ポートフォリオ構成、利用可能な投資機会、およびポートフォリオの収益力を考慮した上で、取締役会と配当について協議する予定です。その目的は、競争力のある配当水準を維持しつつ、配当の安定性を支えることです。

特定プールとTBAの比較：経営陣はTBA調達を魅力的とみなしているものの、特定プールのコンベックス性によるメリットと比べると持続性が低い可能性があると考えています。IVRは、TBAをポートフォリオの約8%に維持し、特定プールを最大の配分とすることに引き続き納得感を持っています。

レバレッジと流動性：経営陣は、現在のレバレッジおよび流動性水準は引き続き問題ないレベルであると述べました。四半期末以降、純資産価値とモーゲージスプレッドが改善したため、レバレッジは低下しています。

自社株買い：IVRには既存の普通株式買戻しプログラムがあります。経営陣は、株価が純資産価値に対して大幅なディスカウント水準で持続的に取引された場合には自社株買いを再検討すると述べ、その際は自社株買いと新規エージェンシーMBS投資から得られるリターンを比較することになります。

GSE需要：経営陣の推計によると、ファニーメイとフレディマックは1,350億ドル相当の上限枠の余力を残しており、これは約450億ドルを年初来で追加した後の数値です。両機関は第3四半期中に保有ポートフォリオへ約150億ドルを追加し、レバレッジ型エージェンシーMBS投資家を一定程度下支えしました。

決算電話会議トランスクリプト全文

決算説明会の完全なトランスクリプト

経営陣による説明

Operator

Welcome to the Invesco Mortgage Capital Third Quarter 2026 Earnings Call. [Operator Instructions] As a reminder, this call is being recorded. Now I would like to turn the call over to Greg Seals in Investor Relations. Mr. Seals, you may begin the call.

Greg Seals

Thanks, operator, and to all of you joining us on Invesco Mortgage Capital's Third Quarter 2026 Earnings Call. In addition to today's press release, we have provided a presentation that covers the topics we plan to address today. The press release and presentation are available on our website, invescomortgagecapital.com. This information can be found by going to the Investor Relations section of the website.

Our presentation today will include forward-looking statements and certain non-GAAP financial measures. Please review the disclosures on Slide 2 of the presentation regarding these statements and measures as well as the appendix for the appropriate reconciliations to GAAP. Finally, Invesco Mortgage Capital is not responsible for and does not edit or guarantee the accuracy of our earnings teleconference transcripts provided by third parties. The only authorized webcasts are located on our website. Again, welcome, and thank you for joining us today.

I'll now turn the call over to IVR's CEO, Kevin Collins, for his comments.

Kevin Collins

Good morning, and welcome to Invesco Mortgage Capital's Third Quarter Earnings Call. I'll provide a few comments before turning the call over to Brian Norris, our CIO. He'll discuss our portfolio in more detail. Also joining us on the call this morning for Q&A is our President, David Lyle; and our CFO, Mark Gregson.

Now turning to the market. During the third quarter, we operated in a very challenging environment. Economic growth remained resilient, but financial conditions tightened as investors priced in additional Fed rate hikes. Treasury yields repriced sharply higher across the curve, driven largely by expectations for tighter monetary policy, but also stronger growth and concerns around fiscal deficits and increased Treasury supply. So look, to put the magnitude of the rates move in perspective, this represented one of the most significant increases in Treasury yields since the aggressive Fed tightening cycle of 2022. We saw 2-year yields rise more than 70 bps, 10-year yields rise more than 80 bps all during the quarter.

Interest rate volatility also increased meaningfully during the quarter, especially in September. The MOVE index ended the quarter at 110, up from 83 at the end of the second quarter. And moving to the Fed, the FOMC's 25 basis point rate increase at the September meeting demonstrated its commitment to price stability, and it helped keep longer-term inflation expectations fairly well anchored despite elevated energy prices. 2-year breakevens increased to 2.5% at quarter end from 2% at the end of the second quarter, and 5-year breakevens increased more modestly to 2.4% from 2.3%.

So collectively, these developments they -- look, they weighed on investor demand and they contributed to materially wider Agency RMBS spreads, and I'd say that's fair to state across the coupon stack. And I would call Agency CMBS spreads modestly wider. So against this backdrop, we generated an economic return of negative 11.6%. So that consisted of monthly dividends at $0.12 per share and a 16.1% decline in book value per share.

Quarter-to-date, our book value is up roughly 4% and together with our accrued dividend, has generated an economic return of, call it, roughly 6%. At quarter end, our $8 billion investment portfolio consisted of $6.6 billion Agency RMBS specified pools, $0.7 billion Agency TBA and $0.7 billion Agency CMBS. Do want to note that in September, we tactically reduced our Agency CMBS allocation to what was 8.5% -- excuse me, to 8.5% from 11%, and we redeployed proceeds into Agency RMBS as spread widening made it relatively more attractive. And regarding our leverage, our economic debt-to-equity ratio increased to 8.3 turns from 7.5 turns, and we maintained a sizable balance of unrestricted cash and unencumbered investments exceeding $400 million.

Now our EAD, it declined from $0.50 in the second quarter to $0.47 in the third quarter. So that largely reflected the impact of repositioning our swap portfolio. So as of quarter end, we hedged 99% of our borrowing costs with interest rate swaps and U.S. Treasury futures. Now regarding capital activities, we raised approximately $51 million through the ATM program during the quarter, with the goal of increasing our scale, reducing expenses per share and improving the liquidity profile of our common stock.

Entering the fourth quarter, our outlook for Agency RMBS and Agency CMBS is constructive. Look, despite continued uncertainty surrounding inflation, monetary policy, geopolitics, recent spread widening has certainly enhanced projected returns and the relative value of our target assets. And I also want to note that we believe the liquidity and government guarantee of Agency MBS enhances its appeal, as investors are increasingly focused on managing risks.

Further, Agency RMBS, we believe, is positioned to benefit from increased demand from the GSEs, from banks and from money managers. Lower interest rate volatility and de-escalation of tensions in the Middle East could also provide additional support. So against this backdrop, we're really focused on maintaining prudent leverage, ample liquidity and portfolio diversification, and we believe we're well positioned to navigate uncertainty and create long-term shareholder value.

So now I'll turn the call over to Brian. He's going to go through our portfolio and our performance for the quarter in greater detail.

Brian Norris

Thanks, Kevin, and good morning to everyone listening to the call. I'll begin on Slide 5, which provides detail on interest rates over the past year. As Kevin noted in his opening remarks, Treasury yields rose sharply in the third quarter, as 10-year and 30-year yields rose 81 and 68 basis points, respectively, to end at their highest levels in nearly 25 years. The yield curve steepened modestly in the front end, as 5- and 10-year yields rose more than 2-year yields, while the long end flattened given modest support at the 30-year point of the curve.

Resilient economic growth, above-market inflation and persistent instability in the Middle East were the primary drivers of higher interest rates on the quarter. As a result, expectations for tighter monetary policy intensified, and the FOMC followed through with the 25 basis point increase in the Fed funds rate at their September 16 meeting. The increase was the committee's first since July 2023. And following the meeting, the market priced in nearly 4 more 25 basis point increases through the end of 2027, leading to a sharp increase in interest rate volatility in the latter half of the month. Positively, funding markets for our target assets remained stable throughout the quarter and over quarter end as lending capacity remained ample and financing spreads over SOFR were largely unchanged in the low teens.

Slide 6 provides additional detail on Agency mortgage markets over the past year, with the third quarter highlighted in gray. During the quarter, Agency RMBS materially underperformed Treasuries, driven primarily by the sharp increase in interest rate volatility in September. That volatility weighed on investor sentiment and triggered deleveraging from hedge funds, along with a modest amount of convexity-related selling from servicers.

While organic net supply remained manageable, incremental supply from banks and overseas investors added further pressure to the supply and demand backdrop. Positively, demand from the GSEs, money managers and mortgage REITs provided some support to valuations, but not enough to offset the broader supply-driven pressure.

Agency CMBS spreads were largely unchanged for most of the quarter, however, serving as a powerful diversifier to Agency RMBS, given its limited exposure to interest rate volatility. The sector did not face the same selling pressure as Agency RMBS, only widening modestly the last week of September, as investors looked to monetize its outperformance relative to Agency RMBS.

The dollar roll market for higher coupon Agency TBAs continued to benefit from favorable technical conditions, with implied financing rates from production coupons remaining below 1-month SOFR for much of the quarter, enhancing levered return potential in those coupons. Higher mortgage rates, however, weighed on specified pool payups and higher coupons, as refinancing activity remained subdued and demand for prepayment protection softened accordingly.

Despite near-term pressure, we continue to view carefully selected specified pools as an effective tool for managing convexity risk in Agency mortgage portfolios. With the mortgage universe largely extended and trading at a discount to par, convexity risk is more one-sided at current rate levels, and we believe this provides an attractive entry point for adding prepayment protection.

Slide 7 summarizes the changes in our portfolio over the course of a relatively active third quarter. While higher interest rates and wider spreads offset net purchase activity to drive a decline in our total portfolio market value of 2.3% quarter-over-quarter, our highly liquid portfolio and focus on active management provided numerous opportunities to tactically adjust allocations to improve the investment profile of the company.

Early in the quarter, we invested monthly cash flows and proceeds from our ATM issuances into specified pools, given their improved relative value versus Agency TBA. Most of these purchases occurred in 30-year 5.5% and 6% coupons, as the higher rate environment reduced prepayment risk in higher coupons, leading to a slight decline in our 4.5% and 5% coupon allocations. In addition, we swapped a portion of our Agency TBA allocation into specified pools, further improving the convexity profile of our portfolio by reducing our sensitivity to interest rate volatility.

We sold our remaining Agency IO positions, which were a strong performer in the portfolio over the last few years. When purchased, they offered attractive unlevered yields in the high single digits to low double digits. Recent demand for these low coupon IOs has been robust, given the very slow and predictable prepayment behavior over the past few years. And market yields have declined to the 6% to 7% range, reducing their attractiveness as an unlevered holding for IVR. We reinvested proceeds from these sales into 30-year 6.5% Agency TBA, which benefits from a highly attractive dollar roll market, providing an ROE well over 20%.

Lastly, we rotated a portion of our Agency CMBS allocations into lower coupon, 2.5% and 3% specified pools, seeking to benefit from the resilience in Agency CMBS valuations by reallocating into a similar risk profile but more attractively priced deep discount Agency RMBS. As a result of this portfolio activity, our allocation to specified pools increased from 73% of our total investment portfolio to 83% during the quarter, notably improving the convexity profile at attractive entry points.

Levered gross returns on production coupon specified pools hedged with swaps were in the high teens to 20% ROE, with the current coupon spread to the 5- and 10-year SOFR blend ending the quarter near 160 basis points, its widest level since March. Given the growth in specified pools within the portfolio, our allocation to Agency TBA and Agency CMBS declined from 14.7% to 8.3% in Agency TBA, and 11.1% to 8.3% (sic) [ 8.5% ] in Agency CMBS. Both remain core holdings in our portfolio despite the decline in allocations, with Agency TBA continuing to provide attractive levered gross returns in the high teens to low 20s ROEs as implied financing rates persist near or below 1-month repo rates in production coupons.

Agency CMBS spreads widened modestly at the very end of the quarter, but the sector notably outperformed Agency RMBS across the coupon stack, providing beneficial diversification to the total investment portfolio. Financing capacity has been robust as we continue to fund our positions with multiple counterparties at attractive levels.

Despite the modest decline in our allocation, we continue to believe Agency CMBS offers many benefits, mainly through its inherent prepayment protection and fixed maturities, which reduce our sensitivity to interest rate volatility. We will continue to monitor the sector for tactical opportunities to adjust our allocations to the extent the relative value between Agency CMBS and lower coupon Agency RMBS shifts, recognizing the overall benefit as the sector diversifies risks associated with Agency RMBS.

Slide 8 details our funding book at quarter end. Repurchase agreements collateralized by our Agency RMBS and Agency CMBS investments increased from $6.2 billion to $6.8 billion, largely reflecting our rotation from Agency TBA to specified pools, while the total notional of our hedges increased from $6.1 billion to $6.8 billion.

Excluding the implied funding via our Agency TBA allocation, our hedge ratio remains elevated at 99%, given the increased uncertainty regarding the path of monetary policy. In addition, we continue to maintain significant liquidity with approximately $401 million of cash and unencumbered investments at quarter end, equating to 44% of our total equity.

Slide 9 provides detail on our hedge book at quarter end. The composition of our hedges remained weighted towards interest rate swaps, with 76% of our hedges consisting of interest rate swaps on a notional basis and 67% on the dollar duration basis. Swap spreads widened during the quarter, serving as a modest tailwind for our performance. We remain comfortable focusing the majority of our hedges in interest rate swaps, as swap spreads are historically tight and offer an attractive hedge profile relative to Treasury futures.

As shown in the table at the bottom of the slide, we adjusted the maturity profile of our hedge book during the quarter, reducing the notional amount of hedges with maturities less than 3 years from $1.9 billion to $1.2 billion, and rotating that exposure into longer maturities across the maturity structure. The extension of hedge maturities was a result of the sharp rise in interest rates, as we adjusted our hedges to account for the new interest rate environment, given the extension in our Agency RMBS portfolio.

As Kevin noted, this had a negative impact on our EAD for the quarter, as the majority of our shorter hedges were added to the portfolio in a much lower interest rate environment and had lower coupon rates than current market swaps. Importantly, the lower EAD had no impact on our economic return given the substantial market value gains in those lower coupon swaps.

Slide 10 provides our model-based estimates of book value sensitivity to instantaneous shocks in interest rates and mortgage spreads. Looking first at the table at the top of the slide, we modestly reduced our duration gap quarter-over-quarter, reflecting a more cautious stance on the direction of interest rates. On the bottom table, the increased sensitivity to changes in mortgage spreads reflects our higher leverage quarter-over-quarter.

We believe the current environment is conducive to higher leverage, as valuations have been well supported at wider levels and our liquidity remains ample. Importantly, we did not execute any net sales during the quarter, maintaining our exposure to the more attractive valuations moving forward and allowing the company to capitalize on further normalization in valuations.

To conclude our prepared remarks, the management team remains committed to delivering exceptional investment performance for our shareholders. While the volatility of the third quarter certainly presented a challenging backdrop, we were pleased with how well the market functioned throughout, allowing us to reposition the portfolio to capitalize on more attractive opportunities.

Although persistent geopolitical risks and the uncertain path of near-term monetary policy may create some volatility in mortgage valuations, we continue to believe the medium- to long-term outlook for our target assets remains constructive, underpinned by attractive valuations and supportive supply and demand technicals. Additionally, our liquidity position remains ample, providing substantial cushion to withstand additional market stress while maintaining the flexibility to capitalize on opportunities in our target assets as the investment environment improves. Thank you for your continued support of Invesco Mortgage Capital.

Now we will open the line for Q&A.

Operator

[Operator Instructions] Our first question comes from Marissa Lobo with UBS.

質疑応答

Ameeta Lobo Nelson

I just wanted to start with the dividend. At the current level, it's paying out roughly 20% of book value. Can you give us an update on how you're thinking about the appropriate dividend level from here?

Kevin Collins

Yes. Sure, Marissa. Thanks for your question, and thanks for joining the call today. I guess I'd start by saying that current ROEs, as was mentioned for our target assets, are 18% to 20%. So we're going to be discussing the dividend with the Board at our upcoming meeting, really with an emphasis around market conditions and available investment opportunities in relation to our current payout of book value.

Ameeta Lobo Nelson

Got it. And just looking at the portfolio, you noted TBA financing is attractive relative to repo. So how are you weighing that against the convexity benefits of specified pools when comparing returns?

Brian Norris

Marissa, it's Brian. Yes, I mean, I think, like I said, Agency TBA ROEs are certainly attractive given where implied financing rates are. But that can also not be as durable as the benefits that we see in specified pools. And so I think at about 8%, we're very comfortable with our allocation to TBA at this level. But I noted convexity benefits of specified pools right now are a bit more one-sided. I think extension risk has largely played out in the market.

Certainly, as of the end of September, we've seen a pretty decent rally in rates since then. So some of that has reversed. But we're still very comfortable owning the majority of our allocation in specified pools, just given the kind of the -- not only convexity benefits, but also fairly attractive ROEs and durability of those ROEs.

Operator

Our next question comes from Doug Harter with BTIG.

Douglas Harter

Looking at Slide 14 and Slide 13, can you just talk about how you're thinking about the risk positioning, both in leverage and cash unencumbered, and kind of what are levels that you're kind of willing to kind of comfortably hold to the extent that we have kind of other pockets of volatility and say, October's book value recovery were to reverse?

Brian Norris

Doug, it's Brian. Yes, we're certainly comfortable with the current level of leverage and cash unencumbered. It's something that we obviously monitor on a daily basis and run against various risk models and metrics to determine the appropriate amount. And leverage has come down since the end of the quarter, just given the improvement in book value and mortgage spreads as well. So we're certainly comfortable.

We did let it drift higher over the course of the quarter given that underperformance. And so we're comfortable at higher levels. But again, we think valuations are pretty attractive, and supply and demand technicals are very supportive as well. So that all kind of blends into kind of our view on where we're comfortable with leverage.

Douglas Harter

Got it. And I guess, going the other way, like how comfortable would you be to kind of pick up leverage to take advantage of the current opportunity? Or do you feel like you kind of have the right risk positioning on?

Brian Norris

Yes. I think probably the latter. If we did see mortgage spreads kind of reverse from here, the recent tightening that we've seen and go wider and take our leverage a little bit higher, that's not something that we would be uncomfortable with, but it's not something that we're necessarily looking to do by adding assets at this point.

Operator

Our next question comes from Trevor Cranston with Citizens JMP.

Trevor Cranston

You mentioned in the prepared remarks the potential for normalization of MBS valuations. Can you talk about what you guys see as the most likely driver of that normalization, if that's reduced interest rate volatility or if you see some other factors potentially driving improved valuations?

Brian Norris

Sure, Trevor. It's Brian. Certainly, interest rate volatility. As that continues to normalize, we should see mortgage spreads normalize along with that. That's -- interest rate volatility has certainly been the closest tie or the biggest driver of mortgage spreads over the last number of years. So that's the #1 thing that we would look to see.

Now what brings down interest rate volatility, I think, is up for a little bit more debate. I think it certainly is a clearer path of monetary policy, near-term monetary policy, and it's also some -- maybe some conclusion or at least some progress on the Middle East front would benefit that as well. So I think recent stresses in credit markets aren't overly helpful from that perspective. But I think what it does do is make us feel a little bit better about interest rates and not maybe keeping a bit more of a lid on where those can go.

Operator

Our next question comes from Jason Weaver with JonesTrading.

Jason Weaver

First of all, given the discount to book, it seems like the appeal of issuance is a bit more muted here. But have you discussed internally pursuing anything in repurchase? It seems like the ROE is kind of comparable to new investment, but is there a discount level at which it becomes much more urgent?

Kevin Collins

Yes. Jason, thanks for joining our call. I'll start with the ATM front and issuance and then kind of circle back to repurchases. But as you probably noted, we raised approximately $50 million of capital in Q3. We haven't raised any capital in Q4. I think as we're thinking about things as it pertains to buybacks, we do have a common stock repurchase program in place. And if our shares trade at a meaningful discount to book value for what I would consider a sustained period of time, it's certainly something that we stand ready to do and we'll reevaluate repurchases.

Of course, it will be relative to -- excuse me, deploying capital into new Agency mortgage investments. Obviously, we've seen a lot of volatility recently. So we want to make sure that we carefully kind of assess the situation relative to what we're seeing as very attractive Agency MBS investment opportunities, as Brian has alluded to in his commentary.

Jason Weaver

Yes. And then it looks like spec pay-ups fell a bit while rates rose. I think you have about $50 million at risk there, if my math works out. With mortgage rates still north of 7% now, where do you see the floor on pay-ups in your internal modeling?

Brian Norris

Yes. Jason, it's Brian. Yes, I think, I mean, most of the universe is in discount price area. So I think we're probably very close to that floor. But it's really hard to say. I mean, obviously, during particular times of stress, those pay-ups can decline notably, but typically, will bounce back quickly after that. So I think to directly answer your question, I think extension risk is largely out of the market. And so I think pay-ups are about as low as they would likely go in this environment.

Operator

Our next question comes from Jason Stewart with Compass Point.

Jason Stewart

Going back to the dividend, when you have that discussion with the Board, what factors are most important? Is it incremental returns? Is it how much credit you think the stock is getting for the dividend, which is obviously quite low, other investment opportunities like repurchase? If you could just walk through maybe the thought process and how you consider those different factors or if I missed one, add to it.

Kevin Collins

Yes. Jason, thanks for your question. I'll list through those and then kind of circle back to ultimately how we think about the dividend big picture. So just in terms of factors that are considered, I would certainly say market conditions, which have changed quite meaningfully recently and are still somewhat kind of settling into new ranges. So we'll kind of see how that takes hold.

The second, I would say, is obviously current earnings. Third is portfolio composition. And as I mentioned, I believe in my response to Marissa's question, we're going to think about available investment opportunities in relation to our current payout on book value because -- and this is where I'll kind of circle back to our bigger picture objective here.

Ultimately, we want to be mindful of changes in the market and mindful of all the things that I just kind of walked through and how some of those may have changed to ensure that our dividend is supported by the portfolio -- excuse me, earnings power. And then obviously, think about it from a lens of providing stability and making sure that the dividend is competitive.

Jason Stewart

Got it. Okay. That's helpful. And then on the MBS front, I mean, it seems like we've got a little bit of a mixed picture from the GSEs in terms of buying activity in September. How much does that factor into your decision on leverage and overall comfort with the portfolio in current spreads?

Brian Norris

Jason, it's Brian. Yes, it's a bit of a mixed bag here. I think clearly, Fannie has been more active year-to-date on the securities front. I think by my calculations, the combined entities still have about $135 billion of capacity under their caps. So that's pretty substantial. I mean they've only added about $45 billion year-to-date. So it certainly gives us more comfort on leverage at modestly higher levels.

I think in September, Fannie, in particular, served as a bit of a backstop adding a fair amount. And over the third quarter, I believe the 2 entities added about $15 billion to their retained portfolios. And so that's a notable number. And I think with mortgage spreads kind of in that 160 area, which is where we were in March, that kind of seems to be the level that the market shakes out in stress environments. So I think from that perspective, that certainly gives levered investors more comfort as we move forward.

Operator

Thank you. At this time, I'm showing no further questions. I'll turn the call back over to the speakers.

Kevin Collins

Yes. Just if there's no other questions, just want to thank everyone for their interest in Invesco Mortgage Capital. We are appreciative of you joining this morning's call and look forward to engaging in the weeks ahead.

Operator

Thank you. And this concludes today's conference. We thank you for your participation. And at this time, you may disconnect your lines.