การประชุมชี้แจงผลประกอบการไตรมาส 3 ปี 2026 ของ Invesco Mortgage Capital (IVR): มูลค่าตามบัญชีลดลง 16.1%

Invesco Mortgage Capital (NYSE: IVR) รายงานผลประกอบการไตรมาสที่สามของปี 2026 ที่ท้าทาย เนื่องจากอัตราผลตอบแทนพันธบัตรรัฐบาลสหรัฐที่พุ่งสูงขึ้นอย่างมากและความผันผวนของอัตราดอกเบี้ยที่เพิ่มขึ้นกดดันมูลค่าหลักทรัพย์ที่มีสัญญาจำนองค้ำประกันโดยหน่วยงานรัฐบาล (Agency MBS)

ประเด็นสำคัญ

• IVR สร้างผลตอบแทนทางเศรษฐกิจติดลบ 11.6% ซึ่งประกอบด้วยเงินปันผลรายเดือน 0.12 ดอลลาร์ต่อหุ้น และมูลค่าทางบัญชีต่อหุ้นที่ลดลง 16.1%
• กำไรที่สามารถจัดสรรเพื่อการจ่ายปันผล (EAD) ลดลงเหลือ 0.47 ดอลลาร์ต่อหุ้น จาก 0.50 ดอลลาร์ ในไตรมาสที่สอง โดยมีสาเหตุหลักมาจากการปรับเปลี่ยนสถานะของพอร์ตสัญญาแลกเปลี่ยนอัตราดอกเบี้ย
• พอร์ตการลงทุนมูลค่า 8.0 พันล้านดอลลาร์ ประกอบด้วย Agency RMBS ประเภท Specified Pools มูลค่า 6.6 พันล้านดอลลาร์, Agency TBA มูลค่า 0.7 พันล้านดอลลาร์ และ Agency CMBS มูลค่า 0.7 พันล้านดอลลาร์
• อัตราส่วนหนี้สินต่อทุนทางเศรษฐกิจเพิ่มขึ้นเป็น 8.3 เท่า จาก 7.5 เท่า ขณะที่เงินสดปลอดภาระและเงินลงทุนที่ไม่มีภาระผูกพันมีจำนวนรวมประมาณ 401 ล้านดอลลาร์ ซึ่งคิดเป็น 44% ของส่วนของผู้ถือหุ้นทั้งหมด
• มูลค่าทางบัญชีตั้งแต่ต้นไตรมาสจนถึงปัจจุบันเพิ่มขึ้นประมาณ 4% และเมื่อรวมเงินปันผลค้างจ่าย ฝ่ายบริหารประเมินผลตอบแทนทางเศรษฐกิจไว้ที่ประมาณ 6%
• ฝ่ายบริหารอธิบายแนวโน้มสำหรับ Agency RMBS และ Agency CMBS ว่าเป็นไปในเชิงบวก โดยอ้างถึงส่วนต่างอัตราดอกเบี้ย (Spread) ที่กว้างขึ้น คาดการณ์ผลตอบแทนที่ดีขึ้น และอุปสงค์ที่อาจเกิดขึ้นจาก GSE, ธนาคาร และผู้จัดการกองทุน

ข้อมูลทางการเงินที่สำคัญ

ผลการดำเนินงานของธุรกิจและพอร์ตการลงทุน

อัตราผลตอบแทนพันธบัตรรัฐบาลสหรัฐปรับตัวเพิ่มขึ้นอย่างมากในระหว่างไตรมาส โดยอัตราผลตอบแทนอายุ 2 ปี เพิ่มขึ้นมากกว่า 70 basis points ขณะที่อัตราผลตอบแทนอายุ 10 ปี เพิ่มขึ้นมากกว่า 80 basis points และดัชนี MOVE ปรับตัวสูงขึ้นสู่ระดับ 110 จาก 83 ณ สิ้นไตรมาสที่สอง

Agency RMBS ทำผลงานต่ำกว่าพันธบัตรรัฐบาลอย่างมีนัยสำคัญ เนื่องจากความผันผวนของอัตราดอกเบี้ยที่สูงขึ้นทำให้อุปสงค์ของนักลงทุนอ่อนแอลง และส่งผลให้กองทุนบริหารความเสี่ยงปรับลดสัดส่วนการใช้เลเวอเรจ รวมถึงเกิดแรงขายที่เกี่ยวข้องกับ Convexity ขณะที่ส่วนต่างอัตราดอกเบี้ยของ Agency CMBS ขยายตัวเพียงเล็กน้อยและช่วยกระจายความเสี่ยงของพอร์ตการลงทุน

IVR เพิ่มสัดส่วน Specified Pools เป็น 83% ของพอร์ตการลงทุน จาก 73% โดยการซื้อเน้นไปที่หลักทรัพย์อายุ 30 ปี ที่มีอัตราดอกเบี้ยหน้าตั๋ว 5.5% และ 6% นอกจากนี้ บริษัทได้ปรับเปลี่ยนสถานะ Agency TBA บางส่วนไปยัง Specified Pools เพื่อลดความไวต่อความผันผวนของอัตราดอกเบี้ย

การจัดสรรสัดส่วนใน Agency TBA ลดลงเหลือ 8.3% จาก 14.7% ขณะที่ Agency CMBS ลดลงเหลือ 8.5% จาก 11.1% ซึ่งฝ่ายบริหารกล่าวว่าทั้งสองรายการยังคงเป็นสินทรัพย์หลักที่ถือครอง โดย Specified Pools อัตราดอกเบี้ยหน้าตั๋วระดับปัจจุบัน (Production-coupon) ที่ป้องกันความเสี่ยงด้วยสัญญา Swap ให้ผลตอบแทนขั้นต้นแบบใช้เลเวอเรจในช่วง 10% ปลายๆ ถึงประมาณ 20% ROE ขณะที่สถานะ Agency TBA ที่เลือกไว้ให้ผลตอบแทนอยู่ในช่วง 10% ปลายๆ ถึงช่วงต้นของระดับ 20%

IVR ได้ถอนการลงทุนในสถานะ Agency Interest-Only ที่เหลืออยู่ หลังจากอัตราผลตอบแทนในตลาดลดลงเหลือ 6%–7% ซึ่งลดความน่าสนใจในฐานะการถือครองแบบไม่ใช้เลเวอเรจ โดยนำเงินที่ได้ไปลงทุนใหม่ใน Agency TBA อายุ 30 ปี อัตราดอกเบี้ย 6.5% ซึ่งฝ่ายบริหารระบุว่าให้ ROE สูงกว่า 20% เนื่องจากต้นทุนการเงิน Dollar-Roll ที่เอื้ออำนวย

มุมมองของฝ่ายบริหาร

ฝ่ายบริหารยังคงมุมมองเชิงบวกในระยะกลางถึงระยะยาวต่อ Agency RMBS และ Agency CMBS โดยการขยายตัวของส่วนต่างอัตราดอกเบี้ยเมื่อเร็วๆ นี้ ได้ช่วยปรับปรุงคาดการณ์ผลตอบแทนและมูลค่าเปรียบเทียบให้ดีขึ้น ขณะที่การรับประกันจากรัฐบาลและความสภาพคล่องช่วยสนับสนุนความน่าสนใจของ Agency MBS ในตลาดที่มุ่งเน้นความเสี่ยง

ปัจจัยเร่งที่อาจทำให้ส่วนต่างอัตราดอกเบี้ยกลับสู่ภาวะปกติ ได้แก่ ความผันผวนของอัตราดอกเบี้ยที่ลดลง ความชัดเจนที่มากขึ้นเกี่ยวกับนโยบายการเงิน และความตึงเครียดทางภูมิรัฐศาสตร์ที่ลดลง นอกจากนี้ ฝ่ายบริหารยังคาดว่าอาจได้รับการสนับสนุนด้านอุปสงค์จาก GSE, ธนาคาร และผู้จัดการกองทุน

บริษัทวางแผนที่จะรักษาเลเวอเรจที่ระมัดระวัง สภาพคล่องที่เพียงพอ และการกระจายความเสี่ยงของพอร์ตการลงทุน ทั้งนี้ ฝ่ายบริหารระบุว่าพอใจกับสถานะความเสี่ยงในปัจจุบันและไม่ได้แสวงหาการเพิ่มเลเวอเรจอย่างแข็งขัน แม้ว่าจะสามารถยอมรับเลเวอเรจที่สูงขึ้นได้หากส่วนต่างอัตราดอกเบี้ยจำนองขยายตัวขึ้นอีกก็ตาม

ความเสี่ยงและประเด็นที่ต้องจับตา

• การปรับตัวสูงขึ้นอีกของอัตราผลตอบแทนพันธบัตรรัฐบาลสหรัฐหรือความผันผวนของอัตราดอกเบี้ยอาจกดดันมูลค่าของ Agency RMBS และมูลค่าทางบัญชี
• ความไม่แน่นอนเกี่ยวกับอัตราเงินเฟ้อและแนวทางนโยบายของธนาคารกลางสหรัฐ (เฟด) ยังคงเป็นปัจจัยขับเคลื่อนสำคัญของส่วนต่างอัตราดอกเบี้ยจำนอง
• ความไร้เสถียรภาพทางภูมิรัฐศาสตร์ โดยเฉพาะในตะวันออกกลาง อาจทำให้ความผันผวนของตลาดยังคงดำเนินต่อไป
• เลเวอเรจที่สูงขึ้นเพิ่มความไวของ IVR ต่อการเปลี่ยนแปลงในส่วนต่างอัตราดอกเบี้ยจำนอง
• อุปทาน MBS ส่วนเพิ่มจากธนาคารและนักลงทุนต่างชาติกดดันสมดุลระหว่างอุปสงค์และอุปทานในระหว่างไตรมาส
• ฝ่ายบริหารตั้งข้อสังเกตว่า สภาวะความตึงเครียดในตลาดสินเชื่อเมื่อเร็วๆ นี้ อาจยังไม่สนับสนุนให้ความผันผวนของอัตราดอกเบี้ยลดลงอย่างรวดเร็ว

ประเด็นสำคัญจากช่วงถาม-ตอบกับนักวิเคราะห์

นโยบายการจ่ายเงินปันผล: ฝ่ายบริหารจะหารือเรื่องเงินปันผลกับคณะกรรมการ โดยพิจารณาจากสภาวะตลาด กำไรในปัจจุบัน โครงสร้างพอร์ตการลงทุน โอกาสในการลงทุนที่มี และความสามารถในการทำกำไรของพอร์ต โดยมีวัตถุประสงค์เพื่อสนับสนุนความเสถียรของเงินปันผลในขณะที่ยังคงรักษาระดับการจ่ายปันผลให้สามารถแข่งขันได้

Specified Pools เปรียบเทียบกับ TBA: ฝ่ายบริหารมองว่าการระดมทุนผ่าน TBA มีความน่าสนใจ แต่อาจมีความยั่งยืนน้อยกว่าประโยชน์ด้าน Convexity ของ Specified Pools โดย IVR ยังคงพอใจกับสัดส่วน TBA ที่ประมาณ 8% ของพอร์ตการลงทุน และมี Specified Pools เป็นสัดส่วนการลงทุนที่ใหญ่ที่สุด

เลเวอเรจและสภาพคล่อง: ฝ่ายบริหารระบุว่าระดับเลเวอเรจและสภาพคล่องในปัจจุบันยังคงอยู่ในระดับที่น่าพอใจ โดยเลเวอเรจลดลงตั้งแต่สิ้นไตรมาสเนื่องจากมูลค่าทางบัญชีและส่วนต่างอัตราดอกเบี้ยจำนองปรับตัวดีขึ้น

การซื้อหุ้นคืน: IVR มีโครงการซื้อหุ้นสามัญคืนอยู่แล้ว ฝ่ายบริหารระบุว่าจะประเมินการซื้อหุ้นคืนอีกครั้ง หากหุ้นมีการซื้อขายในราคาที่มีส่วนลดอย่างมีนัยสำคัญเมื่อเทียบกับมูลค่าทางบัญชีเป็นระยะเวลาต่อเนื่อง โดยจะเปรียบเทียบการซื้อหุ้นคืนกับผลตอบแทนที่ได้รับจากการลงทุนใหม่ใน Agency MBS

อุปสงค์จาก GSE: ฝ่ายบริหารประเมินว่า Fannie Mae และ Freddie Mac ยังคงมีวงเงินคงเหลือภายใต้เพดานประมาณ 135 พันล้านดอลลาร์ หลังจากเพิ่มขึ้นประมาณ 45 พันล้านดอลลาร์ ตั้งแต่ต้นปีจนถึงปัจจุบัน ทั้งนี้ ทั้งสององค์กรได้เพิ่มพอร์ตการถือครองประมาณ 15 พันล้านดอลลาร์ ในระหว่างไตรมาสที่สาม ซึ่งช่วยสนับสนุนนักลงทุน Agency MBS ที่ใช้เลเวอเรจได้ในระดับหนึ่ง

บทถอดความการแถลงผลประกอบการฉบับเต็ม

บทถอดเสียงฉบับเต็มของการประชุมทางโทรศัพท์ผลประกอบการ

คำชี้แจงจากฝ่ายบริหาร

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.

ช่วงถาม-ตอบ

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.