Capstead Mortgage (CMO) 8-K Cautionary Statement Concerning Forward-looking Statements

CAPSTEAD

As of September 30, 2010

Investor Presentation

Exhibit 99.1

Safe Harbor Statement -

Private Securities Litigation Reform Act of 1995

Cautionary Statement Concerning Forward-looking Statements

This

document

contains

“forward-looking

statements”

within

the

meaning

of

the

Private

Securities

Litigation

Reform

Act

of

1995.

Forward-looking statements include, without limitation, any statement that may predict, forecast, indicate or imply future results,

performance

or

achievements,

and

may

contain

the

words

“believe,”

“anticipate,”

“expect,”

“estimate,”

“intend,”

“project,”

“will

be,”

“will

likely continue,”

“will likely result,”

or words or phrases of similar meaning. These forward-looking statements are based largely on the

expectations of management and are subject to a number of risks and uncertainties including, but not limited to, the following:

In

addition

to

the

above

considerations,

actual

results

and

liquidity

are

affected

by

other

risks

and

uncertainties

set

forth

in

the

“Risk

Factors”

sections contained in the Company’s periodic filings with the SEC, which could cause actual results to be significantly different

from those expressed or implied by these forward-looking statements.  Any forward-looking statements speak only as of the date the

statement is made and the Company undertakes no obligation to update or revise any forward-looking statements, whether as a result

of new information, future events or otherwise.  It is not possible to identify all of the risks, uncertainties and other factors that may affect

future results.  In light of these risks and uncertainties, the forward-looking events and circumstances discussed herein may not occur

and actual results could differ materially from those anticipated or implied in the forward-looking statements.  Accordingly, readers of

this document are cautioned not to place undue reliance on the forward-looking statements.

–

changes in general economic conditions;

–

fluctuations in interest rates and levels of mortgage

prepayments;

–

the effectiveness of risk management strategies;

–

the impact of differing levels of leverage employed;

–

liquidity of secondary markets and credit markets;

–

the availability of financing at reasonable levels and terms to

support investing on a leveraged basis;

–

the availability of new investment capital;

–

increases in costs and other general competitive factors;

–

deterioration in credit quality and ratings;

–

the availability of suitable qualifying investments from both

an investment return and regulatory perspective;

–

the availability of residential mortgage pass-through

securities issued and guaranteed by government-sponsored

entities (“the GSEs”), currently Fannie Mae or Freddie Mac,

or by an agency of the federal government, currently Ginnie

Mae; and

–

changes

in

legislation

or

regulation

affecting

the

GSEs

and

similar federal government agencies and related

guarantees.

2

Company Summary

Proven Strategy

Experienced

Management Team

Company Overview

•

Founded in 1985; oldest publicly-traded agency mortgage REIT

•

Total investment portfolio of $7.94 billion*

•

Long-term investment capital of $1.11 billion levered 6.37 times*

•

Annualized 5-year return on average common equity of 14.0%**

•

Invests almost exclusively in residential adjustable-rate mortgage securities

issued and guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae

•

Prudently leveraged portfolio provides financial flexibility to manage

changing market conditions

•

Self-managed with low operating costs and a conservative incentive

compensation structure

•

Over 80 years of combined mortgage finance industry experience, including

72 years at Capstead

3

*    As of September 30, 2010.  Long-term investment capital includes stockholders’ equity and unsecured borrowings, net of investments in related unconsolidated affiliates.

**   Defined as average annualized net income available to common stockholders divided by average common equity capital from Q4’05 through Q3’10.

Market Snapshot

(dollars in thousands, except per share amounts)

4

Perpetual Preferred

Trust

Total Long-Term

Common

Series A

Series B

Preferred

Investment Capital

NYSE Stock Ticker

CMO

CMOPRA

CMOPRB

Shares outstanding

(a)

70,129

188

15,819

Cost of preferred capital

11.44%

11.28%

8.49%

10.28%

Price as of

November

8,

2010

$11.65

$20.40

$14.03

Book Value per common share

(a)

$11.77

Price as a multiple of September 30, 2010

book value

99.0%

Recorded value

(a)

$828,945

$2,630

$176,703

$99,978

$1,108,256

Market cap as of November

8,

2010

(b)

$817,003

$3,835

$221,941

$99,978

$1,142,757

  (a)   As of September 30, 2010. 

  (b)   Excludes common shares issued subsequent to quarter-end, if any.

18%

82%

10%

90%

Proven Investment & Financing Strategy

5

As of September 30, 2010

As of September 30, 2010

Residential ARM Securities Portfolio

Repurchase Agreements & Similar Borrowings

Total: $7.06 billion

*    Based on fair market value as of the indicated balance sheet date.  Excludes fixed-rate investments totaling $23 million.

Total: $7.92 billion*

Over 99% of the securities are backed by well-

seasoned mortgage loans with:

–

Coupon interest rates reset at least annually or

begin doing so after an initial fixed-rate period of

five years or less

Long-term relationships with numerous lending

counterparties:

–

20 active counterparties at September 30, 2010

Currently-paying interest rate hedge positions

consisted of $2.8 billion notional amount of two-year

interest rate swaps with average fixed rates of 1.17%

and average terms of 13 months at September 30,

2010.  Another $500 million in forward-starting two-

year swaps with average fixed rates of 0.69% begin

paying in January 2011.

The duration of the assets and liabilities was

approximately 8¾

months and 6½

months,

respectively at September 30, 2010 resulting in:

–

a net

duration

gap

of

approximately

2¼

months

at September 30, 2010

Longer-to-Reset

ARMs

$0.77 Billion

Current-Reset

ARMs

$7.15 Billion

Borrowings with

Maturities of

31-90 Days

$1.24 Billion

Borrowings with

Maturities of

30 Days or Less

$5.82 Billion

Low risk agency-guaranteed residential ARM securities financed primarily with 30-90 day “repo” borrowings

Portfolio Leverage &

Long-Term Investment Capital

6

$ in millions

Portfolio Leverage*

Long-Term Investment Capital

$661

$860

$1,114

$1,108

$1,112

$1,108

75%

75%

75%

75%

68%

58%

16%

16%

16%

16%

21%

27%

9%

15%

12%

9%

9%

9%

$

$250

$500

$750

$1,000

$1,250

12/31/07

12/31/08

12/31/09

3/31/10

6/30/10

9/30/10

Common Stock

Preferred Stock

Trust Prefered Securities, net

9.8x

7.8x

6.7x

6.4x

6.2x

6.4x

0.0x

2.0x

4.0x

6.0x

8.0x

12/31/07

12/31/08

12/31/09

3/31/10

6/30/10

9/30/10

$100

$179

$829

Common Stock

Preferred Stock

Trust Preferred Securities, net

From 12/31/07 to 9/30/10, portfolio leverage has decreased 35% from 9.8x to 6.4x and

long-term investment capital has increased 68%

**    Borrowings under repurchase agreements divided by long-term investment capital, which includes stockholders’ equity and unsecured borrowings, net of investments in related 

       unconsolidated affiliates.

2.22%

2.55%

3.09%

4.13%

5.22%

1.73%

3.53%

0.74%

0.66%

0.64%

1.69%

2.40%

2.35%

1.91%

1.56%

0.00%

1.00%

2.00%

3.00%

4.00%

5.00%

6.00%

7.00%

12/31/08

12/31/09

3/31/10

6/30/10

9/30/10

Yield

Borrowing Rate

Financing Spread

$7.44

$7.56

$7.66

$7.92

90%

89%

85%

77%

60%

10%

11%

15%

23%

40%

$8.07

$0.00

$2.00

$4.00

$6.00

$8.00

$10.00

12/31/08

12/31/09

3/31/10

6/30/10

9/30/10

Current-Reset ARMs

Longer-to-Reset ARMs

Historical Financial Overview

7

$ in billions

Residential ARM Securities Portfolio*

Financing Spread on Mortgage Assets**

Book Value Per Common Share

Annualized Return on Average Common Equity***

$9.14

$11.99

$11.77

$11.82

$11.77

$0.00

$3.00

$6.00

$9.00

$12.00

12/31/08

12/31/09

3/31/10

6/30/10

9/30/10

21.0%

14.9%

17.2%

11.9%

8.9%

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

12/31/08

12/31/09

3/31/10

6/30/10

9/30/10

For the year ended

For the quarter ended

Yield

Borrowing Rate

Financing Spread

Current-Reset ARMs

Longer-to-Reset ARMs

  *   Based on fair market value. Excludes fixed-rate investments totaling $23million at September 30, 2010.

**  See page 16 for discussion of use of financing spread on mortgage assets, a non-GAAP financial measure.

***  Defined as annualized net income available to common stockholders divided by average common equity capital.

Financing Spreads

*    See page 16 for discussion of use of financing spread on mortgage assets, a non-GAAP financial measure.

**

Source: Bloomberg.

8

Financing Spread on Mortgage Assets*

Yield

Borrowing Rate

Fed Funds Rate

1-Month LIBOR

Yields on Mortgage Assets vs. Borrowing Rates

Fed Funds vs. 1-Month LIBOR**

Portfolio yields and financing spreads were adversely affected between March and July 2010 by the buyout of

a backlog of seriously delinquent loans by the GSEs

Repo borrowing rates remain at favorable levels with average repo borrowing rates of 0.29% at September 30,

2010 (0.63% including interest rate swaps)

With mortgage prepayments resulting from the GSE buyout programs subsiding, portfolio yields and financing

spreads are beginning to improve over lower levels experienced early in the third quarter

Avg. Spread on mortgage assets: 1.61%*

Third Quarter Highlights

Reported earnings of $23.7 million or $0.27 per diluted common

share

Financing spreads on mortgage assets declined 35 basis points

to average 1.56%, absorbing the last of the Fannie Mae and

Freddie Mac buy-outs of seriously delinquent loans from their

guarantee portfolios*

Portfolio runoff has moderated significantly after the conclusion of

the buy-out programs in July

Book value declined $0.05 to $11.77 per common share

Portfolio increased $264 million to $7.94 billion resulting in an

increase in portfolio leverage to 6.37 times long-term  investment

capital

9

*

See page 16 for discussion of use of financing spread on mortgage assets, a non-GAAP financial measure.

Published Management Remarks

Comment from the Company’s October 27, 2010 earnings press release:

“Sharply higher portfolio runoff resulting from the GSE buyout programs contributed to

significantly higher premium amortization and lower portfolio yields from March to July of this

year as well as temporarily lower average portfolio balances as capital made available from

this runoff was redeployed in a disciplined fashion.  July marked the final month of accelerated

runoff from the GSE buyout programs and represented our highest single month of runoff

because the GSE buyouts were focused on relatively low coupon Fannie Mae securities,

which make up the majority of our currently-resetting ARM securities.  In August annualized

portfolio runoff declined considerably to 21.5% (a 19.2% CPR) and has trended lower into the

fourth quarter with October runoff dropping to approximately 19.6% (a 17.1% CPR),

contributing to a substantial improvement in portfolio yields.

“Our third quarter acquisitions of primarily currently-resetting ARM securities more than

replaced

the

quarter’s

portfolio

runoff

and,

together

with

acquisitions

subsequent

to

quarter-

end, we have now replaced all of this year’s portfolio runoff through October.  If recent market

conditions

continue,

we

anticipate

reporting

an

increase

for

the

year

in

overall

portfolio

size.

“Our recent success in re-leveraging our investment capital, together with the favorable

prepay characteristics of our seasoned portfolio of agency-guaranteed ARM securities and the

continuing low borrowing rate environment, bolster our expectations for reporting significantly

improved operating results for the fourth quarter and into 2011.”

10

CAPSTEAD

CAPSTEAD

Appendix

11

Comparative Balance Sheet

(dollars in thousands, except per share amounts)

12

September 30, 2010

December 31, 2009

December 31, 2008

(unaudited)

Assets

Mortgage securities and similar investments

7,942,342

$

8,091,103

$

7,499,530

$ 

Cash collateral receivable from interest rate swap counterparties

38,738

30,485

53,676

Interest rate swap agreements at fair value

-

1,758

-

Cash and cash equivalents

177,637

409,623

96,839

Receivables and other assets

69,836

92,817

76,200

Investments in unconsolidated affiliates

3,117

3,117

3,117

8,231,670

$

8,628,903

$

7,729,362

$ 

Liabilities

Repurchase arrangements and similar borrowings

7,062,389

$

7,435,256

$

6,751,500

$ 

Unsecured borrowings

103,095

103,095

103,095

Interest rate swap agreements at fair value

22,763

9,218

46,679

Common stock dividend payable

18,233

37,432

22,728

Accounts payable and accrued expenses

16,912

29,961

44,910

7,223,392

7,614,962

6,968,912

Stockholders' Equity

Perpetual preferred stock

179,333

179,333

179,460

Common stock

673,245

661,724

618,369

Accumulated other comprehensive income (loss)

155,700

172,884

(37,379)

1,008,278

1,013,941

760,450

8,231,670

$

8,628,903

$

7,729,362

$ 

Long-term investment capital

(stockholders' equity and

Unsecured borrowings, net of investments in related

unconsolidated affiliates)

$1,108,256

$1,113,919

$860,428

Portfolio leverage

(borrowings

under

repurchase

arrangements

divided by long-term investment capital)

6.37:1

6.67:1

7.85:1

Book value per common share

(calculated

assuming

liquidation preferences for the Series A and B preferred stock)

$11.77

$11.99

$9.14

Comparative Income Statement

(dollars in thousands, except per share amounts) (unaudited)

13

* See page 16 for discussion of use of financing spread on mortgage assets, a non-GAAP financial measure.

Quarter Ended

September

June

March

December

September

2010

2010

2010

2009

2009

Interest income:

Mortgage securities and similar investments

40,614

$         

47,634

$         

60,150

$         

70,458

$         

74,695

$         

Other

111

135

92

76

69

40,725

47,769

60,242

70,534

74,764

Interest expense:

Repurchase arrangements and similar borrowings

(11,096)

(11,146)

(13,368)

(21,697)

(26,802)

Unsecured borrowings

(2,186)

(2,187)

(2,187)

(2,187)

(2,186)

(13,282)

(13,333)

(15,555)

(23,884)

(28,988)

Net interest income

27,443

34,436

44,687

46,650

45,776

Other revenue (expense):

Impairment and related charges associated with

investments in commercial real estate loans

-

-

-

(39,673)

-

Miscellaneous other revenue (expense)

(427)

(98)

(205)

(75)

16

Incentive compensation expense

(983)

(1,330)

(1,415)

(1,334)

(1,058)

General and administrative expense

(2,424)

(3,314)

(2,695)

(3,038)

(2,713)

(3,834)

(4,742)

(4,315)

(44,120)

(3,755)

Income before equity in earnings of unconsolidated affiliates

23,609

29,694

40,372

2,530

42,021

Equity in earnings of unconsolidated affiliates

64

65

65

65

64

Net income

23,673

$         

29,759

$         

40,437

$         

2,595

$            

42,085

$         

Net income (loss) per diluted common share

$0.27

$0.35

$0.51

$(0.04)

$0.56

Average balance on mortgage assets

7,313,810

$    

7,460,379

$    

7,779,081

$    

7,851,662

$    

7,564,203

$    

Average financing spread on mortgage assets*

Average financing spread on all interest-earning assets

Investment premium amortization

17,689

$         

15,342

$         

13,466

$         

8,994

$            

8,311

$            

Portfolio runoff

1.56%

1.40%

35.6%

1.91%

1.71%

37.9%

2.40%

2.25%

21.6%

2.35%

2.14%

31.8%

2.40%

2.21%

20.9%

Yield / Cost Analysis

(dollars in thousands)

*

See page 16 for discussion of use of financing spread on mortgage assets, a non-GAAP financial measure.

14

Basis

Yield/Cost

Runoff

Basis

Yield/Cost

Runoff

Agency-guaranteed securities:

Fannie Mae/Freddie Mac:

   Fixed-rate

$             5,372

6.48%

24.3%

$             6,028

6.47%

27.2%

   ARMs

6,895,479

2.16

36.5

7,089,531

2.50

39.0

Ginnie Mae ARMs

388,334

2.92

13.2

339,804

3.26

13.5

7,289,185

2.20

35.7

7,435,363

2.54

38.0

Unsecuritized residential mortgage loans:

Fixed-rate

3,549

7.01

6.3

3,606

7.00

6.2

ARMs

7,518

3.80

7.4

7,806

3.83

14.2

11,067

4.83

7.1

11,412

4.83

11.9

Commercial loans

10,020

9.67

     -

10,034

9.55

          -

3,538

8.07

3.7

3,570

8.09

3.4

7,313,810

2.22

35.6

7,460,379

2.55

37.9

Other interest-earning assets

171,577

0.26

285,165

0.19

7,485,387

2.18

7,745,544

2.47

30-day to 90-day interest rates, as adjusted

     for hedging results

6,599,599

0.65

6,891,355

0.64

Structured financings

3,538

8.07

3,570

8.09

6,603,137

0.66

6,894,925

0.64

Unsecured borrowings

103,095

8.49

103,095

8.49

6,706,232

0.78

6,998,020

0.76

Capital employed/Total financing spread

$        779,155

1.40

$        747,524

1.71

Financing spread on mortgage assets*

1.56

1.91

Secured borrowings based on:

    Second Quarter 2010 Average

Collateral for structured financings

Third Quarter 2010 Average

Residential ARM Portfolio Statistics

(dollars in thousands)

15

*   Fully indexed net weighted average coupon, or WAC, represents the coupon upon one or more resets using interest rates indices as of September 30, 2010 and the applicable                  

net margin.

Fully

Indexed

Average

Months

Principal

Cost Basis

Fair Market

Net

Net

Net

to

Balance

Premiums

($)

%

Value

WAC

WAC*

Margins

Roll

As of September

30, 2010

Current-reset ARMs:

Fannie Mae Agency Securities

$5,065,394

$

94,313

$5,159,707

101.86

$5,267,593

2.94%

2.31%

1.73%

5.1

Freddie Mac Agency Securities

1,464,996

29,659

1,494,655

102.02

1,531,532

3.52

2.43

1.94

6.5

Ginnie

Mae Agency Securities

335,677

2,438

338,115

100.73

344,802

3.25

1.79

1.53

5.1

Residential Mortgage Loans

7,380

62

7,442

100.83

7,382

3.46

2.52

2.06

4.5

6,873,447

126,472

6,999,919

101.84

7,151,309

3.08

2.32

1.77

5.4

Longer-to-reset ARMs:

Fannie

Mae Agency Securities

344,698

7,727

352,425

102.24

365,330

5.02

2.34

1.63

26.3

Freddie Mac Agency Securities

253,015

3,702

256,717

101.46

269,935

5.80

2.43

1.75

25.1

Ginnie Mae Agency Securities

128,192

4,678

132,870

103.65

133,390

3.34

1.77

1.50

37.0

725,905

16,107

742,012

102.22

768,655

4.99

2.26

1.65

27.8

$7,599,352

$142,579

$7,741,931

101.88

$7,919,964

3.26

2.32

1.75

7.5

Agency RMBS represent over 99% of the portfolio

Use of Financial Spread on Mortgage Assets,

a Non-GAAP Financial Measure

16

Financing Spread on

Mortgage Assets,

Total Financing Spread,

a

Non-GAAP

a

GAAP Measure

Financial

Measure

*

Interest

Income

(Expense)

Yield/Cost

Difference

Interest

Income

(Expense)

Yield/Cost

Corresponding

Second Quarter

2010

Yield/Cost

Interest income:

Mortgage assets

$

40,614

2.22%

$

–

$

40,614

2.22

%

2.55%

Other interest-earning assets

**

111

0.26

(111)

–

–

0.19

40,725

2.18

(111)

40,614

2.22

2.47

Interest expense:

Secured borrowings (borrowings under

repurchase agreements)

(11,096)

0.66

–

(11,096)

0.66

0.64

Unsecured borrowings

***

(2,186)

8.49

2,186

–

–

8.49

(13,282)

0.78

2,186

(11,096)

0.66

0.76

Net interest margin/financing spread

$

27,443

1.40

$

2,075

$

29,518

1.56

1.71

*

**

***

   Net interest margin on mortgage assets and Financing spread on mortgage assets are non-GAAP financial measures (based solely on

interest income and yields on the Company’s portfolio of mortgage securities, net of borrowings under repurchase agreements).  These

measures are similar to the all-inclusive GAAP measures, Total net interest margin and Total financing spread (based on all interest-

earning assets and all interest-bearing liabilities).

Other interest-earning assets consist of overnight investments and cash collateral receivable from interest rate swap counterparties.

Unsecured borrowings consist of junior subordinated notes with original terms of 30 years issued in 2005 and 2006 by Capstead to

statutory trusts formed to issue $3.1 million of the trusts’ common securities to Capstead and to privately place $100.0 million of preferred

securities to unrelated third party investors.  Capstead reflects its investment in the trusts as unconsolidated affiliates and considers the

unsecured borrowings, net of these affiliates, a component of its long-term investment capital.

Third Quarter 2010 (dollars in thousands)

Experienced Management Team

17

–

Has served as president and chief executive officer since 2003 and has held various executive positions at Capstead since 1988

–

Certified Public Accountant (“CPA”), member of the Board of Governors of the National Association of Real Estate Investment Trusts

(“NAREIT”), chairman of NAREIT’s Council of Mortgage REITs, member of the executive committee of the Chancellors Council of

the University of Texas System, the Executive Council of the Real Estate Finance and Investment Center at the University of Texas

at Austin, the American Institute of Certified Public Accountants (“AICPA”), and the Financial Executive International (“FEI”)

–

Has

held

various

financial

accounting

and

reporting

positions

at

Capstead

since

1993

–

Formerly employed by Ernst & Young LLP as an audit senior manager focusing on mortgage banking and asset securitization

–

CPA, Member AICPA, FEI

–

Has served in asset and liability management positions at Capstead since 1994

–

Formerly Vice President of secondary marketing with NationsBanc Mortgage Corporation

–

Has served in asset and liability management positions at Capstead since 1994

–

MBA, Southern Methodist University, Dallas, Texas

Over 80 years of combined mortgage finance industry experience, including 72 years at Capstead

Andrew

F.

Jacobs

–

President

and

Chief

Executive

Officer,

Director

Phillip A. Reinsch

–

Executive Vice President and Chief Financial Officer, Secretary

Robert

A.

Spears

–

Executive

Vice

President,

Director

of

Residential

Mortgage

Investments

Michael

W.

Brown

–

Senior

Vice

President,

Asset

and

Liability

Management,

Treasurer