Capstead Mortgage (CMO) 8-K Announces $100 Million Common Share Repurchase Program

CAPSTEAD

Information as of September 30, 2012

Investor Presentation

Exhibit 99.2

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,”

“will

be,”

“will

likely

continue,”

“will

likely

result,”

or

words

or

phrases

of

similar

meaning.

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

which

could

cause

actual

results

to

be

significantly

different

from

those

expressed

or

implied

by

any

forward-looking

statements

included

herein.

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.

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.

Accordingly,

readers

of

this

document

are

cautioned

not

to

place

undue

reliance

on

any

forward-looking

statements

included

herein.

–

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;

–

the availability of suitable qualifying investments from both

an investment return and regulatory perspective;

–

changes in legislation or regulation affecting Fannie Mae and

Freddie Mac (together, the “GSEs”) and similar federal

government agencies and related guarantees;

–

deterioration in credit quality and ratings of existing or future

issuances of GSE or Ginnie Mae Securities;

–

changes in legislation or regulation affecting exemptions for

mortgage REITs from regulation under the Investment

Company Act of 1940; and

–

increases in costs and other general competitive factors.

2

Company Summary

Proven Strategy

Experienced

Management Team

Aligned with

Stockholders

Overview of Capstead Mortgage Corporation

•

Founded in 1985, Capstead is the oldest publicly-traded Agency mortgage REIT.

•

At September 30, 2012, we had a total investment portfolio of $14.31 billion, supported by long-

term investment capital of $1.66 billion levered 7.96 times.*

•

Our five-year compound annual total return of 22.0% exceeded the Russell 2000 Index and the

NAREIT Mortgage Index.**

•

We invest exclusively in residential adjustable-rate mortgage (ARM) securities issued and

guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae.  Agency-guaranteed mortgage securities

are considered to have little, if any, credit risk.

•

Our focus on short-duration ARM securities augmented with 2-year interest rate swap agreements

differentiates us from our peers because ARM securities reset to

more current interest rates within

a

relatively

short

period

of

time.

This

allows

for

the

recovery

of

financing

spreads

diminished

during

periods

of

rising

interest

rates

and

smaller

fluctuations

in

portfolio

values

from

changes

in

interest rates compared to fixed-rate mortgage securities.  With this strategy, Capstead is

recognized as the most defensively-positioned Agency mortgage REIT from an interest rate risk

perspective.

•

Our

prudently

leveraged

portfolio

provides

financial

flexibility

to

manage

changing

market

conditions.

•

Our top four executive officers have 85 years of combined mortgage finance industry

experience, including 80 years at Capstead.

•

We are self-managed with low operating costs and a focus on performance-based

compensation

for

our

executive

officers.

This

structure

greatly

enhances

the

alignment

of

management interests with those of our stockholders.

3

*   Long-term

investment

capital

includes

stockholders’

equity

and

unsecured

borrowings,

net

of

investments

in

related

unconsolidated

affiliates.

**  Compound annual growth rate is based on cumulative total returns assuming an investment in Capstead was made September 30, 2007 and dividends were reinvested.

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)

98,956

186

16,493

Cost of preferred capital

(a)

11.44%

11.15%

8.49%

10.23%

Price as of October 26, 2012

$12.13

$22.25

$14.94

Book Value per common share

(a)

$13.88

Price as a multiple of

September

30,

2012

book value

87.4%

Recorded value

(a)

$1,374,835

$2,604

$186,388

$99,978

$1,663,805

Market capitalization

as of

October 26, 2012

$1,200,336

$4,139

$246,405

$99,978

$1,550,858

(a)

As of September

30, 2012

.

Capstead’s Prudent Use of Leverage

5

**

Borrowings under repurchase arrangements divided by long-term investment capital.

Portfolio leverage remained relatively stable during the third quarter of 2012 at approximately eight times long-term

investment capital.  In our view, borrowing at current levels represents an appropriate and prudent use of leverage

for an agency-guaranteed ARM securities portfolio in today’s market conditions. 

During the quarter and nine months ending September 30, 2012, respectively, we raised $21 million and $142

million in new common equity capital using our at-the-market continuous offering program.  This program was

suspended with the October 30, 2012 announcement of a $100 million common stock buy back program.

($ in millions)

Portfolio Leverage*

Long-Term Investment Capital

$860

$1,114

$1,127

$1,393

$1,502

$1,580

$1,664

67%

75%

75%

80%

81%

82%

83%

11%

21%

16%

16%

13%

12%

12%

7%

7%

9%

9%

12%

6%

6%

$

$200

$400

$600

$800

$1,000

$1,200

$1,400

$1,600

12/31/08

12/31/09

12/31/10

12/31/11

3/31/12

6/30/12

9/30/12

Common Stock

Preferred Stock

Trust Prefered Securities, net

7.85x

6.67x

6.91x

8.15x

8.05x

8.05x

7.96x

0.0x

1.0x

2.0x

3.0x

4.0x

5.0x

6.0x

7.0x

8.0x

9.0x

12/31/08

12/31/09

12/31/10

12/31/11

3/31/12

6/30/12

9/30/12

$100

$189

$1,375

Common Stock

Preferred Stock

Trust Preferred Securities, net

28%

72%

42%

58%

Capstead’s Proven Short-Duration Investment Strategy

6

As of September 30, 2012

As of September 30, 2012

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

borrowings, augmented with two-year interest rate swap agreements for hedging purposes.

Residential ARM Securities Portfolio

Repurchase Arrangements & Similar Borrowings

Total: $13.25 billion

*    Based on fair market value as of the indicated balance sheet date. 

Total: $14.30 billion*

•

Most of our securities are backed by well-seasoned mortgage

loans with coupon interest rates that reset at least annually or

begin doing so after an initial fixed-rate period of five years or

less.

•

We have long-term relationships with numerous lending

counterparties.  As of September 30, 2012, we had borrowings

outstanding with 24 counterparties.

•

Third quarter 2012 borrowing rates averaged 41 basis points,

up from 37 basis points during the second quarter.  Average

repo borrowing rates ended the quarter at 0.41% (0.56% after

considering currently-paying interest rate swaps).

•

At September 30, 2012 we held $3.70

billion notional amount

of  currently-paying two-year

interest rate swaps requiring fixed

rate payments averaging 0.78% with average maturities of ten

months.  An additional $2.30 billion notional amount of two-year

forward-starting swaps were held at quarter-end that will begin

requiring fixed rate payments averaging 0.50% for two-year

periods on various dates between October 2012 and October

2013.

•

The duration of our investment portfolio and related ‘repo’

borrowings was approximately 10½

months and 8 months,

respectively, at September 30, 2012.  This  resulted in a net

duration gap of approximately 2½

months.  Duration is a

measure of market price sensitivity to interest rate movements.

Longer-to-Reset

ARMs

$5.96 Billion

Current-Reset

ARMs

$8.34 Billion

Borrowings Hedged with

Currently-Paying

Interest Rate Swaps

$3.70 Billion

(excludes forward-

starting swaps)

Unhedged

Borrowings

$9.55 Billion

Financing Spread Analysis

As of September 30, 2012 (unaudited)

7

7

2012

2011

Q3

Q2

Q1

Q4

Q3

Q2

Q1

Yields on residential mortgage investments:

(a)

Cash yields

2.65%

2.71%

2.74%

2.77%

2.84%

2.97%

2.94%

Investment premium amortization

(0.79)

(0.67)

(0.60)

(0.66)

(0.67)

(0.59)

(0.58)

Adjusted yields

1.86

2.04

2.14

2.11

2.17

2.38

2.36

Related borrowing rates:

(b)

Unhedged borrowing rates

0.41

0.37

0.32

0.32

0.25

0.25

0.29

Fixed swap rates

0.78

0.80

0.85

0.90

0.98

1.02

1.07

Adjusted borrowing rates

0.56

0.54

0.49

0.54

0.57

0.55

0.59

Financing spreads on residential mortgage

investments

1.30

1.50

1.65

1.57

1.60

1.83

1.77

2012

2011

Q3

Q2

Q1

Q4

Q3

Q2

Q1

Financing spreads on residential mortgage

investments

1.30%

1.50%

1.65%

1.57%

1.60%

1.83%

1.77%

Impact of yields on other interest-earning assets

*

(0.05)

(0.06)

(0.06)

(0.04)

(0.05)

(0.04)

(0.05)

Impact of

borrowing rates on

unsecured borrowings

and other interest-paying liabilities*

(0.06)

(0.07)

(0.07)

(0.07)

(0.08)

(0.09)

(0.10)

Total financing spreads

1.19

1.37

1.52

1.46

1.47

1.70

1.62

(a)  Cash yields are based on the cash component of interest income. Investment premium amortization is determined using the interest method and incorporates

actual and anticipated future mortgage prepayments. Both are expressed as a percentage calculated on an annualized basis on average amortized cost basis

for the indicated periods.

(b)

Unhedged

borrowing

rates

represent

average

rates

on

repurchase

agreements

and

similar

borrowings.

Fixed

swap

rates

represent

the

average

fixed

rates

on

currently-paying interest rate swap agreements used to hedge short-term borrowing rates. Adjusted borrowing rates reflect unhedged borrowing rates and

swap

rates

as

well

as

differences

between

variable

rate

payments

received

on

the

Company's

currently-paying

swap

agreements,

which

typically

are

based on

one-month LIBOR, and unhedged borrowing rates as well as any measured hedge ineffectiveness, calculated on an annualized basis on average outstanding

balances for the indicated periods.

Financing

spreads

on

residential

mortgage

investments,

a

non-GAAP

financial

measure,

differs

from

total

financing

spreads,

an

all-inclusive

GAAP

measure, that is based on all interest-earning assets and all interest-paying liabilities. The Company believes that presenting financing spreads on

residential

mortgage

investments

provides

useful

information

for

evaluating

the

performance

of

the

Company's

portfolio.

The

following

reconciles

these

two measures.

* 

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

liabilities consist of long-term unsecured borrowings (at a borrowing rate of 8.49%) that the Company considers a component of its long-term investment capital

and cash collateral payable to interest rate swap counterparties.

Capstead’s Stockholder Friendly Structure

8

Quarter

Nine Months

Ended

Ended

Sept. 30, 2012

*

Sept. 30, 2012

*

Compensation-related expenses:

  Fixed:

Salaries and related deferred compensation match,

payroll taxes, insurance and other benefits

   0.22%

   0.23%

  Variable:

Incentive Compensation

**

0.19

0.31

64% and 70% of quarter and

Dividend Equivalent Rights

0.06

0.06

year-to-date compensation -

Performance Stock Awards

0.12

0.12

related expenses, respectively,

Related deferred compensation match and payroll taxes

0.02

0.04

were performance-based

0.39

0.53

0.61

0.76

Other platform expenses

0.27

0.28

          0.88%

            1.04%

*

Expressed as a percentage of average long-term investment capital (LTIC). 

**

Incentive compensation is based on a 10% participation in returns on LTIC in excess of benchmark returns (greater of 10% or the average 10-year Treasury rate

plus 2.0%), capped at 50 basis points of LTIC and subject to Compensation Committee discretion.

•

Self-managed with low operating costs.

•

Our

board

of

directors

requires

management

to

hold

a

significant

amount

of

CMO

stock

based

on

a

multiple of each executive’s base salary.  Our most recent proxy statement discloses that as of 

February 22, 2012 our directors and executive officers beneficially owned 1.9% of our common shares.

•

Pay structure is variable through compensation elements that focus on “pay for performance.”

•

Management is incented to grow the Company by issuing common equity capital when it is accretive to

book

value

and

earnings

as

opposed

to

increasing

compensation

or

external

management

fees.

•

Bottom line: our management prospers when our stockholders prosper.

*

Net WAC, or weighted average coupon, is the weighted average interest rate of the mortgage loans underlying the indicated investments, net of servicing and other fees, as of September 30,

2012.  Net WAC is expressed as a percentage calculated on an annualized basis on the unpaid principal balance of the mortgage loans underlying these investments.  Fully indexed WAC

represents the weighted average coupon upon one or more resets using interest rate indexes and net margins, as of September 30, 2012. Gross WAC is the weighted average interest rate of

the mortgage loans underlying the indicated investments, including servicing and other fees paid by borrowers, as of September 30, 2012.

NOTE:  Excludes $9 million of fixed-rate investments.

Key Elements of Capstead’s ARM Portfolio

As of September 30, 2012 (dollars in thousands, unaudited)

9

9

Fully

Average

Months

Principal

Investment

Amortized Cost Basis

Fair Market

Net

Indexed

Net

to

Balance

Premiums

($)

%

Value

WAC*

WAC*

Margins

Roll

Current-reset ARMs:

Fannie Mae Agency Securities

$

5,245,789

$124,156

$

5,369,945

102.

37

$5,563,949

2.48%

2.38%

1.70%

5.0

Freddie Mac Agency Securities

1,893,205

52,414

1,945,619

102.

77

2,016,109

2.83

2.52

1.84

6.2

Ginnie Mae Agency Securities

729,351

16,575

745,926

10

2.27

760,018

2.46

1.70

1.51

6.6

Residential Mortgage L

oans

5,139

20

5,159

100.

39

5,22

9

3.51

2.45

2.04

4.5

7,873,

484

193,1

65

8,066,649

102.

45

8,345,305

2.56

2.35

1.71

5.4

Longer-to-reset ARMs:

Fannie Mae Agency Securities

2,920,898

113,555

3,034,453

103.

89

3,080,110

3.00

2.74

1.77

44.2

Freddie Mac Agency Securities

1,827,336

73,461

1,900,797

10

4.02

1,926,073

2.97

2.80

1.84

49.8

Ginnie Mae Agency Securities

898,895

33,757

932,652

103.

76

952,409

3.04

1.69

1.51

32.6

5,647,129

220,773

5,867,902

103.

91

5,958,592

3.00

2.59

1.75

44.1

$13,520,613

$413,9

38

$13,934,551

10

3.06

$14,303,897

2.74

2.45

1.73

21.6

Gross WAC

(rate

paid by borrow

ers)*

3.37

Appendix

CAPSTEAD

10

******************

******************

******************

******************

******************

Capstead’s Third Quarter 2012 Highlights

•

Earnings of $40.0 million or $0.35

per diluted common share.

•

Our average financing spreads on residential mortgage investments decreased 20 basis points to 1.30%.

•

Our book value increased $0.65 to $13.88 per common share.

•

We raised $21 million in new common equity capital using our at-the-market continuous offering program contributing $0.01 to the

increase in book value per common share.

•

Portfolio

leverage

remained

relatively

stable

during

the

quarter

at

approximately

eight

times

long-term

investment

capital.

•

Operating expense as a percentage of long-term investment capital decreased 18 basis points to 0.88%.

•

Comments from our October 24, 2012 earnings press release:

“With

the

apparent

weakening

of

the

global

economy

and

the

recent

announcement

by

the

Federal

Reserve

Open

Market

Committee

of

a

significant

new

fixed-rate

mortgage

bond

buying

program

referred

to

as

QE3,

pricing

in

the

secondary

markets

for

agency-guaranteed

residential

mortgage

securities

of

all

durations,

including

ARM

securities,

has

risen

considerably.

While

favorable

to

reported

book

values,

higher

pricing

levels contribute to lower yields on new acquisitions and puts upward pressure on mortgage prepayment rates as mortgage originators begin

offering

lower

mortgage

rates

to

consumers.

During

the

third

quarter

the

portfolio

increased

$514

million

to

$14.31

billion

while

portfolio

leverage

declined slightly to 7.96 times our long-term investment capital, from 8.05 times at June 30, 2012 in large part due to increases in our book value

as a result of higher portfolio values.  In our view, leverage of approximately eight to one represents an appropriate and prudent use of leverage

for an agency-guaranteed residential ARM securities portfolio in today’s market conditions.

“Mortgage prepayments for the third quarter of 2012 increased approximately 2.8 CPR to 18.7% CPR quarter over quarter reflecting lower

prevailing mortgage interest rates available to consumers as well as higher seasonal prepayment patterns.  This increase in prepayments

contributed to over $5

million in additional investment premium amortization, which negatively impacted portfolio yields and net interest margins

for the quarter.  While mortgage interest rates may continue declining as a consequence of QE3, we believe certain characteristics of our portfolio

lessen the risk of experiencing sharply higher prepayment levels.  Central to this belief, and the fundamental difference between our investment

portfolio and those of our peers, is our focus on investing solely in ARM securities.  As of the end of the third quarter our portfolio was backed by

mortgages requiring borrowers to make payments predicated on rates averaging a relatively low 3.37%, of which 56% were originated prior to

2009.

Mortgage

prepayments

on

securities

backed

by

more

seasoned

loans

have

been

partially

suppressed

by

low

housing

prices

and

credit

problems being experienced by many of these borrowers, even as prepayments on newer originations have increased.  As a result, many

borrowers with mortgage loans underlying securities in our portfolio lack the ability to meaningfully lower their mortgage payments even if they

can

overcome

all

of

these

impediments

to

refinancing.

For

these

reasons,

we

expect

mortgage

prepayments

will

remain

at

manageable

levels.

“With the weighted average coupons of an increasing number of mortgage loans underlying our current-reset ARM securities approaching

fully-indexed

levels,

we

anticipate

the

impact

to

portfolio

yields

from

coupon

resets

to

be

relatively

modest

in

the

coming

quarters,

absent

significant

declines

in

six-

and

twelve-month

indices.

Though

slightly

higher

during

the

third

quarter,

our

borrowing

costs

remained

largely

in

check

reflecting

market

expectations

that

short-term

interest

rates

may

stay

at

extremely

low

levels

into

2015.

This

has

allowed

us

the

opportunity to continue to enter into forward-starting two-year interest rate swap agreements at rates considerably lower than our currently-paying

swaps, most of which mature in 2013. 

“We

remain

confident

in

and

focused

on

our

investment

strategy

of

managing

a

conservatively

leveraged

portfolio

of

agency-guaranteed

residential

ARM

securities

that

can

produce

attractive

risk-adjusted

returns

over

the

long

term

while

reducing,

but

not

eliminating,

sensitivity

to

changes in interest rates.”

11

Capstead’s Quarterly Income Statements

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

12

September

June

March

December

September

2012

2012

2012

2011

2011

Interest income:

Residential mortgage investments

63,463

$          

65,787

$          

65,733

$          

63,910

$          

62,890

$          

Other

154

176

150

71

59

63,617

65,963

65,883

63,981

62,949

Interest expense:

Repurchase arrangements and similar borrowings

(17,875)

(16,451)

(14,103)

(15,556)

(15,744)

Unsecured borrowings

(2,186)

(2,187)

(2,187)

(2,187)

(2,186)

Other

  -

  -

  -

  -

  -

(20,061)

(18,638)

(16,290)

(17,743)

(17,930)

43,556

47,325

49,593

46,238

45,019

Other revenue (expense):

Miscellaneous other revenue (expense)

9

13

(169)

(97)

(109)

Incentive compensation

(781)

(1,295)

(1,538)

(1,548)

(1,429)

Salaries and benefits

(1,696)

(1,682)

(1,827)

(1,698)

(1,631)

Other general and administrative expense

(1,115)

(1,091)

(954)

(992)

(911)

(3,583)

(4,055)

(4,488)

(4,335)

(4,080)

Income before equity in earnings of unconsolidated affiliates

39,973

43,270

45,105

41,903

40,939

Equity in earnings of unconsolidated affiliates

64

65

65

65

64

Net income

40,037

$          

43,335

$          

45,170

$          

41,968

$          

41,003

$          

Net income per diluted common share

$0.35

$0.40

$0.44

$0.43

$0.43

Average long-term investment capital

1,629,566

$     

1,544,380

$     

1,454,495

$     

1,370,471

$     

1,350,693

$     

Average balance of mortgage assets

13,657,286

12,922,725

12,280,065

12,111,091

11,609,545

Investment premium amortization

27,151

21,699

18,496

20,054

19,672

Average CPR*

Average financing spreads on residential mortgage investments

                   1.57

Quarter Ended

                   1.30

                   18.7%

                   1.50

                   15.9%

                   15.6%

                   1.60

                   16.9%

                   1.65

                   14.5%

*    The constant prepayment rate, or CPR, represents only prepayments.

Capstead’s Annual Income Statements –

Five Years Ended 2011

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

13

December

December

December

December

December

2011

2010

2009

2008

2007

Interest income:

Mortgage securities and similar investments

243,077

$        

199,300

$        

314,100

$        

398,285

$        

310,698

$        

Other

301

478

495

2,204

945

243,378

199,778

314,595

400,489

311,643

Interest expense:

Repurchase arrangements and similar borrowings

(57,328)

(47,502)

(120,083)

(249,706)

(266,901)

Unsecured borrowings

(8,747)

(8,747)

(8,747)

(8,747)

(8,747)

Other

(5)

(2)

-

-

-

(66,080)

(56,251)

(128,830)

(258,453)

(275,648)

177,298

143,527

185,765

142,036

35,995

Other revenue (expense):

Miscellaneous other revenue (expense)

(1,023)

(904)

(40,641)

(1,593)

(6,394)

Incentive compensation

(5,697)

(5,055)

(4,769)

(6,000)

-

Salaries and benefits

(6,701)

(6,097)

(5,655)

(4,978)

(3,423)

Other general and administrative expense

(3,932)

(4,834)

(5,696)

(3,801)

(3,248)

(17,353)

(16,890)

(56,761)

(16,372)

(13,065)

Income before equity in earnings of unconsolidated affiliates

159,945

126,637

129,004

125,664

22,930

Equity in earnings of unconsolidated affiliates

259

259

259

259

1,783

Net income

160,204

$        

126,896

$        

129,263

$        

125,923

$        

24,713

$          

Net income per diluted common share

$1.75

$1.52

$1.66

$1.93

$0.19

Average long-term investment capital

1,284,057

$     

1,120,647

$     

1,032,853

$     

813,428

$        

483,703

$        

Average balance of mortgage assets

10,839,749

7,665,796

7,604,530

7,630,958

5,510,503

Investment premium amortization

68,077

57,634

29,426

29,336

24,091

Average CPR*

Average financing spreads on residential mortgage investments

                   29.1%

Year Ended

                   16.0%

                   0.52

                   25.5%

                   2.40

                   16.6%

                   1.69

                   1.68

                   16.1%

                   1.94

*    The constant prepayment rate, or CPR, represents only prepayments.

Capstead’s Comparative Balance Sheets

(dollars in thousands, except per share amounts)

14

September 30,

December 31,

December 31,

December 31,

2012

2011

2010

2009

Assets

Residential mortgage investments

14,313,208

$ 

12,264,906

$ 

8,515,691

$ 

8,091,103

$ 

Cash collateral receivable from interest rate swap counterparties

57,737

48,505

35,289

30,485

Interest rate swap agreements at fair value

24

617

9,597

1,758

Cash and cash equivalents

500,741

426,717

359,590

409,623

Receivables and other assets

140,727

100,760

76,078

92,817

Investments in unconsolidated affiliates

3,117

3,117

3,117

3,117

15,015,554

$ 

12,844,622

$ 

8,999,362

$ 

8,628,903

$ 

Liabilities

Repurchase arrangements and similar borrowings

13,250,488

$ 

11,352,444

$ 

7,792,743

$ 

7,435,256

$ 

Cash collateral payable to interest rate swap counterparties

-

-

9,024

-

Interest rate swap agreements at fair value

41,199

31,348

16,337

9,218

Unsecured borrowings

103,095

103,095

103,095

103,095

Common stock dividend payable

36,173

38,184

27,401

37,432

Accounts payable and accrued expenses

20,772

26,844

23,337

29,961

13,451,727

11,551,915

7,971,937

7,614,962

Stockholders' Equity

Perpetual preferred stock

188,992

184,514

179,323

179,333

Common stock

1,046,621

903,653

674,202

661,724

Accumulated other comprehensive income (loss)

328,214

204,540

173,900

172,884

1,563,827

1,292,707

1,027,425

1,013,941

15,015,554

$ 

12,844,622

$ 

8,999,362

$ 

8,628,903

$ 

Book value per common share

liquidation preferences for the Series A and B preferred stock)

13.88

$12.52

$12.02

$11.99

Long-term investment capital

unsecured borrowings, net of investments in related

unconsolidated affiliates)

$1,663,805

$1,392,685

$1,127,403

$1,113,919

Portfolio leverage

divided by long-term investment capital)

7.96:1

8.15:1

6.91:1

6.67:1

(calculated

assuming

(stockholders‘

equity

and

(borrowings

under

repurchase

arrangements

Experienced Management Team

15

85 years of combined mortgage finance industry experience, including 80 years at Capstead.

Andrew F. Jacobs –

President and Chief Executive Officer, Director

–

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 Executives International (“FEI”)

Phillip A. Reinsch

–

Executive Vice President and Chief Financial Officer, Secretary

–

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

Robert A. Spears

–

Executive Vice President, Director of Residential Mortgage Investments

–

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

–

Formerly Vice President of secondary marketing with NationsBanc Mortgage Corporation

Michael W. Brown –

Senior Vice President, Asset and Liability Management, Treasurer

–

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

–

MBA, Southern Methodist University, Dallas, Texas