8-K

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 8-K

CURRENT REPORT

Pursuant to Section 13 or 15(d) of the

Securities Exchange Act of 1934

Date of Report: May 4, 2010

(Date of Earliest Event Reported)

CAPSTEAD MORTGAGE CORPORATION

(Exact Name of Registrant as Specified in its Charter)

Maryland	001-08896	75-2027937
(State of Incorporation)	(Commission File No.)	(I.R.S. Employer Identification No.)

8401 North Central Expressway
Suite 800
Dallas, Texas	75225
(Address of Principal Executive Offices)	(Zip Code)

Registrant’s Telephone Number, Including Area Code: (214) 874-2323

Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions:

¨ Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425).

¨ Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 230.14a-12).

¨ Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b)).

¨ Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c)).

ITEM 7.01. REGULATION FD DISCLOSURE

Capstead Mortgage Corporation (“Capstead”, or the “Registrant”) has updated its presentation materials to be used in meetings with the investment community. The materials are attached hereto as Exhibit 99.1 and incorporated herein by reference and are also available on our website at www.capstead.com.

The information referenced in this Current Report on Form 8-K (including Exhibit 99.1 referenced in Item 9.01 below) is being “furnished” under “Item 7.01. Regulation FD Disclosure” and, as such, shall not be deemed to be “filed” for the purposes of Section 18 of the Securities Exchange Act of 1934, as amended (the “Exchange Act”), or otherwise subject to the liabilities of that Section and shall not be incorporated by reference into any registration statement or other document filed by Capstead pursuant to the Securities Act of 1933, as amended (the “Securities Act”), except as shall be expressly set forth by specific reference in such filing.

ITEM 8.01. OTHER EVENTS.

Capstead is scheduled to participate in a panel discussion of the Agency Mortgage REITs at the RBC Capital Markets Financial Institutions Conference on Tuesday, May 4, 2010. The conference will be held at The Four Seasons Hotel in Boston on May 3 and 4, 2010.

Capstead is scheduled to present at the Ninth Annual JMP Securities Research Conference on Tuesday, May 11, 2010. The conference will be held at The Ritz-Carlton in San Francisco on May 10, 11 and 12, 2010.

Capstead is scheduled to present at the KBW 2010 Diversified Financials Conference on Wednesday, June 2, 1010. The conference will be held at The St. Regis Hotel in New York on June 2 and 3, 2010.

ITEM 9.01. FINANCIAL STATEMENTS AND EXHIBITS

(b) Exhibits.

99.1 Investor presentation dated as of March 31, 2010.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the Registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized.

	CAPSTEAD MORTGAGE CORPORATION
May 4, 2010	By:	/s/    PHILLIP A. REINSCH
		Phillip A. Reinsch Chief Financial Officer and Executive Vice President

EX-99.1

CAPSTEAD

INVESTOR PRESENTATION

As of March 31, 2010

Exhibit 99.1

CAPSTEAD

2

Safe Harbor Statement -

Private Securities Litigation Reform Act of 1995

Forward Looking Information

This

document

contains

“forward-looking

statements”

(within

the

meaning

of

the

Private

Securities

Litigation

Reform

Act

of

1995)

that

inherently

involve

risks

and

uncertainties.

Capstead’s

actual

results

and

liquidity

can

differ

materially

from

those

anticipated

in

these

forward-looking

statements

because

of

changes

in

the

level

and

composition

of

the

Company’s

investments

and

other

factors.

These

factors

may

include,

but

are

not

limited

to,

changes

in

general

economic

conditions,

the

availability

of

suitable

qualifying

investments

from

both

an

investment

return

and

regulatory

perspective,

the

availability

of

new

investment

capital,

the

availability

of

financing

at

reasonable

levels

and

terms

to

support

investing

on

a

leveraged

basis,

fluctuations

in

interest

rates

and

levels

of

mortgage

prepayments,

deterioration

in

credit

quality

and

ratings,

the

effectiveness

of

risk

management

strategies,

the

impact

of

differing

levels

of

leverage

employed,

liquidity

of

secondary

markets

and

credit

markets,

increases

in

costs

and

other

general

competitive

factors.

In

addition

to

the

above

considerations,

actual

results

and

liquidity

related

to

investments

in

loans

secured

by

commercial

real

estate

are

affected

by

borrower

performance

under

operating

and/or

development

plans,

lessee

performance

under

lease

agreements,

changes

in

general

as

well

as

local

economic

conditions

and

real

estate

markets,

increases

in

competition

and

inflationary

pressures,

changes

in

the

tax

and

regulatory

environment

including

zoning

and

environmental

laws,

uninsured

losses

or

losses

in

excess

of

insurance

limits

and

the

availability

of

adequate

insurance

coverage

at

reasonable

costs,

among

other

factors.

CAPSTEAD

3

Agency-guaranteed residential mortgage securities are considered to have

little, if any, credit risk, particularly given recent federal government support

for Fannie Mae and Freddie Mac.

As a result, these investments are highly liquid and can be financed with

multiple funding providers through standard repurchase arrangements.

Overview

We manage a leveraged portfolio of residential adjustable-rate mortgage,

or ARM, securities issued and guaranteed by Fannie Mae, Freddie Mac or

Ginnie Mae that reset to more current interest rates within a relatively short

period of time allowing for:

•

potential expansion of financing spreads during periods of falling

interest rates,

•

potential recovery of financing spreads diminished during periods of

rising interest rates, and

•

smaller fluctuations in portfolio values from changes in interest rates

compared to investments in fixed-rate mortgage securities.

We are self-managed with low G&A costs and a conservative incentive

structure.

Capstead is a Real Estate Investment Trust formed in 1985, headquartered in Dallas, Texas.

Business

Strategy

Management

Structure

CAPSTEAD

4

Experienced Management Team

Andrew

F.

Jacobs

-

President

and

Chief

Executive

Officer,

Director

–

Has served in various executive positions with us since 1988

–

Certified

Public

Accountant,

member

of

the

Board

of

Governors

of

the

National

Association

of

Real

Estate

Investment

Trusts

(“NAREIT”),

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”),

the

Texas

Society

of

Certified

Public

Accountants

(“TSCPA”),

the

National

Association

of

Corporate

Directors

(“NACD”),

and

the

Financial

Executive

International

(“FEI”).

Phillip A. Reinsch

–

Executive Vice President and Chief Financial Officer, Secretary

–

Has held various financial accounting and reporting positions with us since 1993.

–

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

securitization.

–

CPA, Member AICPA, TSCPA, FEI

Robert A. Spears

–

Executive Vice President, Director of Residential Mortgage Investments

–

Has served in asset and liability management positions with us 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 with us since 1994.

–

MBA, Southern Methodist University, Dallas, Texas

Over 80 years of combined mortgage finance industry experience,

67 years at Capstead

CAPSTEAD

5

Market Snapshot

(in thousands, except percentages and per share amounts)

Perpetual Preferred

Trust

Total Long

-Term

Common

Series A

Series B

Preferred

Investment Capital

NYSE Stock Ticker

CMO

CMOPRA

CMOPRB

Shares outstanding

(a)

70,116

188

15,819

Preferred dividend rate (annualized)

$1.60

$1.26

Cost of preferred capital (annualized)

11.44%

11.28%

8.49%

10.28%

Price as of

April

29,

2010

$11.39

$20.10

$13.91

Book value per common share

(a)

$11.77

Price as a multiple of

book value

97%

Recorded

value

(a)

$828,939

$2,630

$176,703

$99,978

$1,108,250

Market cap as of April 29, 2010

(b)

$798,621

$3,779

$220,042

$99,978

$1,122,420

(a)    As of March

31,

2010

(b)   

Excludes any shares issued subsequent to quarter-end.

CAPSTEAD

6

First Quarter Highlights

Reported earnings

of over $40 million or $0.51 per

diluted common share.

Book value ended quarter at $11.77 per common

share.

Portfolio declined to $7.59 billion.

Portfolio leverage ended quarter at 6.37 times long-

term  investment capital.

Total financing spreads averaged 2.14%.

Financing spreads on mortgage assets averaged

2.35%.

(a)

(a)    See page 14 for discussion of use of financing spread on mortgage assets, a non-GAAP financial measure.

CAPSTEAD

7

Low Risk Agency-guaranteed Residential

ARM Securities Investment Strategy

Current-Reset

ARMs

($6.33 billion)

Longer-to-Reset

ARMs

($1.07 billion)

(investment basis as of March 31, 2010)

Over 99% of the securities in our portfolio 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.

Capstead has long-term relationships with most of its 18 active lending

counterparties and is constantly seeking to expand counterparty relationships.

The duration of our assets and liabilities was approximately 9

months and

7¼

months, respectively, for a net duration gap of approximately 1¾

months.

86%

14%

Financed primarily with 30-

to 90-day “repo”

borrowings.

Interest rate risk mitigated on macro basis

with two-year swap agreements ($2.8 billion

at

1.34%, 17 month average maturity as of

March 31, 2010) or longer-term repo, if

available at attractive rates and terms.

CAPSTEAD

8

Financing Spreads

Fed Funds vs. One-Month Libor

Portfolio yields and financing spreads are currently being adversely affected by the GSE buyout programs

which should run their course by early in the third quarter.

Repo

borrowing

rates

remain

at

favorable

levels

(23

basis

points

at

quarter-end),

which

combined

with

newer,

lower-rate two-year swap positions, lowered our all-in repo borrowing rate to 0.66% at quarter-end (compared to

an average rate of 0.74% during Q1).

Once the delinquency backlog is cleared, prepayments should moderate considerably, allowing a substantial

recovery in portfolio yields and financing spreads.

Yields on Mortgage Assets vs. Borrowing Rates

0.0%

2.0%

4.0%

6.0%

8.0%

Yields

Borrowing Rate

Financing spreads on mortgage assets*

1st Qtr 2010:   2.35%

High:                3.71%

Low:                 (.16)

Average:         1.60

0.00%

1.00%

2.00%

3.00%

4.00%

5.00%

6.00%

7.00%

Fed Funds  

1-Month LIBOR

*

See page 14 for discussion of use of financing spread on mortgage assets, a non-GAAP financial measure.

CAPSTEAD

A P P E N D I X

9

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

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

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

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

CAPSTEAD

10

Comparative Balance Sheet

(in thousands, except per share amounts)

December 31, 2009

December 31, 2008

(unaudited)

Assets

Mortgage securities and similar investments

7,585,462

$  

8,091,103

$ 

7,499,249

$ 

($7.43 billion pledged under repurchase arrangements)

Cash collateral receivable from interest rate swap counterparties

28,455

30,485

53,676

Interest rate swap agreements at fair value

-

1,758

-

Cash and cash equivalents

243,479

409,623

96,839

Receivables and other assets

374,147

92,817

76,481

Investments in unconsolidated affiliates

3,117

3,117

3,117

8,234,660

$  

8,628,903

$ 

7,729,362

$ 

Liabilities

Repurchase arrangements and similar borrowings

7,059,153

$  

7,435,256

$ 

6,751,500

$ 

Unsecured borrowings

103,095

103,095

103,095

Interest rate swap agreements at fair value

13,596

9,218

46,679

Common stock dividend payable

35,058

37,432

22,728

Accounts payable and accrued expenses

15,486

29,961

44,910

7,226,388

7,614,962

6,968,912

Stockholders' Equity

Perpetual preferred stock

179,333

179,333

179,460

Common stock

672,643

661,724

618,369

Accumulated other comprehensive income (loss)

156,296

172,884

(37,379)

1,008,272

1,013,941

760,450

8,234,660

$  

8,628,903

$ 

7,729,362

$ 

Long-term investment capital

(stockholders' equity and

unsecured borrowings, net of investments in related

unconsolidated affiliates) (unaudited)

$1,108,250

$1,113,919

$860,428

Portfolio leverage

(borrowings under repurchase arrangements

divided by long-term investment capital) (unaudited)

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)

(unaudited)

$11.77

$11.99

$9.14

March 31, 2010

CAPSTEAD

11

Comparative Income Statement

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

Quarter Ended

March

December

September

June

March

2010

2009

2009

2009

2009

Interest income:

Mortgage securities and similar investments

$

60,150

$

70,458

$

74,695

$

81,062

$

87,884

Other

92

76

69

133

217

60,242

70,534

74,764

81,195

88,101

Interest expense:

Repurchase arrangements and similar borrowings

(13,368)

(21,697)

(26,802)

(31,626)

(39,957)

Unsecured borrowings

(2,187)

(2,187)

(2,186)

(2,187)

(2,187)

(15,555)

(23,884)

(28,988)

(33,813)

(42,144)

44,687

46,650

45,776

47,382

45,957

Other revenue (expense):

Impairment and related charges associated with

investments in commercial real estate loans

–

(39,673)

–

(750)

–

Miscellaneous other revenue(expense)

(205)

(75)

16

(54)

(105)

Incentive compensation expense

(1,415)

(1,334)

(1,058)

(1,243)

(1,134)

General and administrative expense

(2,695)

(3,038)

(2,713)

(2,893)

(2,707)

(4,315)

(44,120)

(3,755)

(4,940)

(3,946)

Income before equity in earnings of

unconsolidated affiliates

40,372

2,530

42,021

42,442

42,011

Equity in earnings of unconsolidated affiliates

65

65

64

65

65

Net income

$

40,437

$

2,595

$

42,085

$

42,507

$

42,076

Net income

per diluted common share

$

0.51

$(0.04)

$0.56

$0.58

$0.57

Average balance on mortgage assets

$

7,779,081

$7,851,662

$7,564,203

$7,481,914

$7,517,220

Average financing spread on mortgage assets

(a)

2.35%

2.40%

2.40%

2.47%

2.33%

Average fin

ancing

spread on all interest-earning assets

2.14%

2.21%

2.25%

2.31%

2.16%

Investment premium amortization

$

13,466

$

8,994

$

8,311

$

6,618

$

5,523

(a)     See page 14 for discussion of use of financing spread on mortgage assets, a non-GAAP financial measure.

CAPSTEAD

12

Yield / Cost Analysis

(dollars in thousands)

*

See page 14 for discussion of use of financing spread on mortgage assets, a non-GAAP financial measure.

Basis

Yield/Cost

Runoff

Basis

Yield/Cost

Runoff

Agency-guaranteed securities:

Fannie Mae/Freddie Mac:

Fixed-rate

$         6,590

6.42%

26.9%

$     7,323

6.47%

26.9%

ARMs

7,400,565

3.06

32.3

7,420,397

3.59

21.1

Ginnie

Mae ARMs

346,642

3.46

18.3

357,911

3.68

21.3

7,753,797

3.08

31.9

7,785,631

3.60

21.1

Unsecuritized

residential mortgage loans:

Fixed-rate

3,663

7.00

5.8

3,717

6.93

5.7

ARMs

7,973

4.05

6.9

8,434

4.26

19.4

11,636

4.98

6.6

12,151

5.08

15.9

Commercial real estate loans

-

-

-

40,190

-

-

Commercial loans

10,047

9.43

-

10,060

9.63

-

3,601

8.19

3.3

3,630

8.54

3.0

7,779,081

3.09

31.8

7,851,662

3.59

20.9

Other interest-earning assets

293,031

0.13

218,195

0.14

8,072,112

2.99

8,069,857

3.50

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

for hedging results

7,233,673

0.74

7,126,672

1.19

Structured financings

3,601

8.19

3,630

8.54

7,237,274

0.74

7,130,302

1.19

Unsecured borrowings

103,095

8.49

103,095

8.49

7,340,369

0.85

7,233,397

1.29

Capital employed/

Total financing spread

$     731,743

2.14

$ 836,460

2.21

Financing spread on mortgage assets *

2.35

2.40

Fourth Quarter 2009 Average

Secured borrowings based on:

First Quarter 2010 Average

Collateral for structured financings

CAPSTEAD

13

Residential ARM Securities Portfolio Statistics

(as of March 31, 2010)

Fully

Indexed

Average

Average

Average

Months

Principal

Cost Basis

Net

Net

Net

Periodic

Lifetime

To

Balance

Premiums

$

%

WAC

WAC*

Margins

Caps

Caps

Roll

Current-reset ARMs:

Fannie

Mae Agency

Securities

$

4,677,770

$

66,903

$

4,744,673

101.43

3.27%

2.43%

1.77%

3.44%

10.17%

4.7

Freddie Mac Agency Securities

1,214,852

20,235

1,235,087

101.67

3.80

2.57

1.97

2.25

11.51

7.1

Ginnie

Mae Agency

Securities

337,502

2,097

339,599

100.62

3.68

1.90

1.53

1.00

10.10

5.7

Residential mortgage loans

7,833

66

7,899

100.84

3.73

2.51

2.06

1.56

11.11

5.2

6,237,957

89,301

6,327,258

101.43

3.40

2.44

1.80

3.05

10.43

5.3

Longer-to-reset ARMs:

Fannie Mae Agency Securities

673,405

10,198

683,603

101.51

6.06

2.25

1.55

1.91

11.55

26.0

Freddie Mac Agency Securities

377,607

4,570

382,177

101.21

6.06

2.60

1.79

1.87

11.29

27.1

1,051,012

14,768

1,065,780

101.41

6.06

2.35

1.64

1.89

11.46

26.4

$

7,288,969

$104,069

$

7,393,038

101.43

3.78

2.42

1.78

2.88

10.58

8.3

*

Fully indexed net WAC represents the coupon upon one or more resets using interest rates indices as of March 31, 2010 and the applicable

net margin.

CAPSTEAD

14

Use of Financial Spread on Mortgage Assets,

a Non-GAAP Financial Measure

First Quarter 2010 (dollars in thousands)

(a)

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). 

(b)

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

(c)

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.