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: September 9, 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 9.01. FINANCIAL STATEMENTS AND EXHIBITS

(b) Exhibits.

99.1 Investor presentation dated as of June 30, 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
September 9, 2010	By:	/s/    PHILLIP A. REINSCH
		Phillip A. Reinsch
		Chief Financial Officer and
		Executive Vice President

EX-99.1

CAPSTEAD

As of June 30, 2010

Investor Presentation

Exhibit 99.1

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.

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, including the impact of the GSE buyout

programs;

•

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 federal government-

sponsored enterprises, currently Fannie Mae or Freddie

Mac, or by an agency of the federal government, currently

Ginnie Mae; and

•

changes in legislation or regulation affecting federal

government-sponsored enterprises 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

•

Long-term investment capital of $1.11 billion*

•

Total investment portfolio of $7.68 billion*

•

Annualized 5-year return on average long-term investment capital of 10.3%**

•

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

**   Defined as the average of annualized net income divided by average long-term investment capital from Q3’05 through Q2’10.

Experienced Management Team

4

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 Executive 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

Over

80

years

of

combined

mortgage

finance

industry

experience,

including

72

years

at

Capstead

Second Quarter Highlights

Reported earnings of nearly $30 million or $0.35 per

diluted common share

Book value ended quarter at $11.82 per common share

Portfolio increased to $7.68 billion

Portfolio leverage ended quarter at 6.20 times long-

term  investment capital

Total financing spreads averaged 1.71%

Financing spreads on mortgage assets* averaged

1.91%

5

*

See page 17 for discussion of use of financing spread on mortgage assets, a non-GAAP financial measure.

Third Quarter Common Dividend

On September 9, 2010 announced third quarter common

dividend of $0.26 for stockholders of record on September 30,

2010, payable October 20, 2010.  This compares to a $0.36

common dividend for the second quarter of 2010.

Comment from the Company’s July 28, 2010 earnings press

release:

“The GSEs

have largely concluded their buyout programs

with the June buyouts that will be reflected in July portfolio

runoff.  As a result, portfolio yields and financing spreads are

expected to trend lower in the third quarter even as rates on our

borrowings remain at favorable levels.  We expect mortgage

prepayments and related investment premium amortization to

moderate in the fourth quarter, allowing portfolio yields and

financing spreads to begin to recover.  Consequently, we

anticipate reporting improved operating results for the fourth

quarter.”

6

*

See page 17 for discussion of use of financing spread on mortgage assets, a non-GAAP financial measure.

Market Snapshot

7

$ 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 outstandingat June

30, 2010

70,129

188

15,819

Cost of preferred capital

11.44%

11.28%

8.49%

10.28%

Price as of

September 8,

2010

$11.80

$21.70

$15.23

Book Value per common share

(a)

$11.82

Price as a multiple of June 30, 2010

book value

99.8%

Recorded value

(a)

$832,611

$2,630

$176,703

$99,978

$1,111,922

Market cap as of September 8, 2010

(b)

$827,522

$4,080

$240,923

$99,978

$1,172,503

  (a)   As of June 30, 2010.

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

37%

63%

11%

89%

Proven Investment & Financing Strategy

8

As of June 30, 2010

As of June 30, 2010

Low

risk

agency-guaranteed

residential

ARM

securities

financed

primarily

with

30-90

day

“repo”

borrowings

Residential ARM Securities Portfolio

Repurchase Agreements & Similar Borrowings

Total: $6.90 billion

*    Based on fair market value as of the indicated balance sheet date.  Excludes fixed-rate investments totaling $24 million.

Total: $7.66 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:

–

19 active counterparties at June 30, 2010

Interest rate hedge positions consisted of $2.8

billion notional amount of two-year interest rate

swaps with average fixed rates of 1.34% and

average terms of 14 months at June 30, 2010

The duration of the assets and liabilities was

approximately 8½

months and

6¼

months,

respectively at June 30, 2010 resulting in:

–

a net duration gap of approximately 2¼

months at June 30, 2010

Longer-to-Reset

ARMs

$0.81 Billion

Current-Reset

ARMs

$6.85 Billion

Borrowings with

Maturities of

31-90 Days

$2.56 Billion

Borrowings with

Maturities of

30 Days or Less

$4.34 Billion

Financing Spreads

0.0%

2.0%

4.0%

6.0%

8.0%

12/00

11/01

9/02

8/03

6/04

5/05

3/06

1/07

12/07

10/08

9/09

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 June 30,

2010 (0.68% 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

*    See page 17 for discussion of use of financing spread on mortgage assets, a non-GAAP financial measure.

**

Source: Bloomberg.

9

Yields on Mortgage Assets vs. Borrowing Rates

Fed Funds vs. 1-Month LIBOR**

Financing Spread on Mortgage Assets*

Yield

Borrowing Rate

Fed Funds Rate

1-Month LIBOR

0.0%

2.0%

4.0%

6.0%

8.0%

12/00

3/02

6/03

9/04

12/05

3/07

6/08

9/09

6/10

Avg. Spread on mortgage assets:  1.61%*

6/10

2.55%

3.09%

4.13%

5.22%

5.64%

3.53%

5.12%

1.73%

0.64%

0.74%

0.52%

1.69%

2.40%

2.35%

1.91%

0.00%

1.00%

2.00%

3.00%

4.00%

5.00%

6.00%

7.00%

12/31/07

12/31/08

12/31/09

3/31/10

6/30/10

Yield

Borrowing Rate

Financing Spread

$7.04

$8.07

$7.56

$7.66

89%

85%

77%

60%

51%

11%

15%

23%

40%

49%

$7.44

$0.00

$2.00

$4.00

$6.00

$8.00

$10.00

12/31/07

12/31/08

12/31/09

3/31/10

6/30/10

Current-Reset ARMs

Longer-to-Reset ARMs

Historical Financial Overview

10

$ in billions

Residential ARM Securities Portfolio*

Financing Spread on Mortgage Assets**

Book Value Per Common Share

Annualized Return on Average Long-Term Investment

Capital on Mortgage Assets***

$9.25

$9.14

$11.99

$11.77

$11.82

$0.00

$3.00

$6.00

$9.00

$12.00

12/31/07

12/31/08

12/31/09

3/31/2010

6/30/10

6.9%

16.5%

13.3%

15.4%

11.4%

0.0%

5.0%

10.0%

15.0%

20.0%

12/31/07

12/31/08

12/31/09

3/31/10

6/30/10

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 $24 million at June 30, 2010.

**   See page 17 for discussion of use of financing spread on mortgage assets, a non-GAAP financial measure.

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

Portfolio Leverage &

Long-Term Investment Capital

11

$ in millions

Portfolio Leverage*

Long-Term Investment Capital

$661

$860

$1,114

$1,108

$1,112

58%

68%

75%

75%

75%

27%

21%

16%

16%

16%

9%

9%

9%

12%

15%

$

$250

$500

$750

$1,000

$1,250

12/31/07

12/31/08

12/31/09

3/31/10

6/30/10

Common Stock

Preferred Stock

Trust Prefered Securities, net

9.8x

7.8x

6.7x

6.4x

6.2x

0.0x

2.0x

4.0x

6.0x

8.0x

10.0x

12.0x

12/31/07

12/31/08

12/31/09

3/31/10

6/30/10

$100

$179

$833

Common Stock

Preferred Stock

Trust Preferred Securities, net

From 12/31/07 to 6/30/10, portfolio leverage has decreased 37% from 9.8x to 6.2x 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. 

CAPSTEAD

Appendix

CAPSTEAD

12

Comparative Balance Sheet

13

$ in millions, except per share amounts, unaudited

December 31, 2007

December 31, 2008

December 31, 2009

June 30, 2010

Assets

Mortgage securities and similar investments

7,109

$     

7,499

$     

8,091

$     

7,679

$     

Cash collateral receivable from interest rate swap counterparties

2

54

30

35

Interest rate swap agreements at fair value

-

-

2

-

Cash and cash equivalents

7

97

410

268

Receivables and other assets

88

76

93

89

Investments in unconsolidated affiliates

3

3

3

3

7,209

$     

7,729

$     

8,629

$     

8,074

$     

Liabilities

Repurchase arrangements and similar borrowings

6,501

$     

6,751

$     

7,435

$     

6,898

$     

Unsecured borrowings

103

103

103

103

Interest rate swap agreements at fair value

2

47

9

16

Common stock dividend payable

10

23

38

25

Accounts payable and accrued expenses

32

45

30

20

6,648

6,969

7,615

7,062

Stockholders' Equity

Perpetual preferred stock

180

179

179

179

Common stock

344

618

662

673

Accumulated other comprehensive income (loss)

37

(37)

173

160

561

760

1,014

1,012

7,209

$     

7,729

$     

8,629

$     

8,074

$     

Long-term investment capital

(stockholders' equity and

unsecured borrowings, net of investments in related

unconsolidated affiliates)

$661

$860

$1,114

$1,112

Portfolio leverage

(borrowings under repurchase arrangements

divided by long-term investment capital)

9.8:1

7.8:1

6.7:1

6.2:1

Book value per common share

(calculated assuming

liquidation preferences for the Series A and B preferred stock)

$9.25

$9.14

$11.99

$11.82

Comparative Income Statement

14

* See page 17 for discussion of use of financing spread on mortgage assets, a non-GAAP financial measure.

$ in millions, except per share amounts, unaudited

Year Ended

Quarter Ended

December 31,

December 31,

December 31,

March 31,

June 30,

2007

2008

2009

2010

2010

Interest income:

Mortgage securities and similar investments

$310.7

$398.2

$314.1

$60.1

$47.6

Other

0.9

2.2

0.5

0.1

0.1

311.6

400.4

314.6

60.2

47.7

Interest expense:

Repurchase arrangements and similar borrowings

(266.9)

(249.7)

(120.1)

(13.4)

(11.1)

Unsecured borrowings

(8.7)

(8.7)

(8.7)

(2.2)

(2.2)

(275.6)

(258.4)

(128.8)

(15.6)

(13.3)

Net interest income

36.0

142.0

185.8

44.6

34.4

Other revenue (expense):

Impairment and related charges associated with

investments in commercial real estate loans

-

-

(40.4)

-

-

Miscellaneous other revenue (expense)

(6.4)

(1.6)

(0.2)

(0.2)

(0.1)

Incentive compensation expense

-

(6.0)

(4.8)

(1.4)

(1.3)

General and administrative expense

(6.7)

(8.8)

(11.4)

(2.7)

(3.3)

(13.1)

(16.4)

(56.8)

(4.3)

(4.7)

Income before equity in earnings of unconsolidated affiliates

22.9

125.6

129.0

40.3

29.7

Equity in earnings of unconsolidated affiliates

1.8

0.3

0.3

0.1

0.1

Net income

$24.7

$125.9

$129.3

$40.4

$29.8

Net income per diluted common share

$0.19

$1.93

$1.66

$0.51

$0.35

Average balance on mortgage assets

$5,510

$7,631

$7,605

$7,779

$7,460

Average financing spread on mortgage assets*

0.52%

1.69%

2.40%

2.35%

1.91%

Average financing spread on all interest-earning assets

0.45%

1.59%

2.23%

2.14%

1.71%

Investment premium amortization

$24.0

$29.0

$29.0

$13.5

$15.3

Yield / Cost Analysis

*

See page 17 for discussion of use of financing spread on mortgage assets, a non-GAAP financial measure.

15

$ in millions

Basis

Yield/Cost

Runoff

Basis

Yield/Cost

Runoff

Agency-guaranteed securities:

Fannie Mae/Freddie Mac:

Fixed-rate

$                   6.0

6.47%

27.2%

$                  6.6

6.42%

26.9%

ARMs

7,089.5

2.50

39.0

7,400.6

3.06

32.3

Ginnie

Mae ARMs

339.8

3.26

13.5

346.6

3.46

18.3

7,435.3

2.54

38.0

7,753.8

3.08

31.9

Unsecuritized

residential mortgage loans:

Fixed-rate

3.6

7.00

6.2

3.7

7.00

5.8

ARMs

7.8

3.83

14.2

8.0

4.05

6.9

11.4

4.83

11.9

11.7

4.98

6.6

Commercial loans

10.0

9.55

-

10.0

9.43

-

3.6

8.09

3.4

3.6

8.19

3.3

7,460.3

2.55

37.9

7,779.1

3.09

31.8

Other interest-earning assets

285.2

0.19

293.0

0.13

7,745.5

2.47

8,072.1

2.99

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

for hedging results

6,891.3

0.64

7,233.7

0.74

Structured financings

3.6

8.09

3.6

8.19

6,894.9

0.64

7,237.3

0.74

Unsecured borrowings

103.1

8.49

103.1

8.49

6,998.0

0.76

7,340.4

0.85

Capital employed/Total financing spread

$             747.5

1.71

$             731.7

2.14

Financing spread on mortgage assets*

1.91

2.35

Secured borrowings based on:

First Quarter 2010 Average

Collateral for structured financings

Second Quarter 2010 Average

Fully

Principal

Fair Market

Indexed

Average

Months

Balance

Premiums

       Cost Basis            

Value

Net

Net

Net

to

($mm)

($mm)

($mm)

%

($mm)

WAC

WAC*

Margins

Roll

As of June 30, 2010

Current-reset ARMs:

Fannie Mae Agency Securities

$

5,011.8

$

83.7

$

5,095.5

101.67

$

5,201.0

3.03%

2.53%

1.76%

5.0

Freddie Mac Agency Securities

1,250.9

21.5

1,272.4

101.72

1,305.1

3.53

2.66

1.97

7.2

Ginnie Mae Agency Securities

326.9

2.0

328.9

100.61

334.8

3.44

1.84

1.53

5.6

Residential Mortgage Loans

7.5   

0.1

7.6

100.83

7.5

  3.57

   2.81

    2.06

     6.0

6,597.1

107.3

6,704.4

101.63

6,848.4

3.15

2.53

1.79

5.4

Longer-to-reset ARMs:

Fannie Mae Agency Securities

440.8

9.1

449.9

102.08

465.4

5.22

2.58

1.59

27.2

Freddie Mac Agency Securities

309.0

4.0

313.0

101.29

329.3

5.95

2.79

1.77

25.6

Ginnie Mae Agency Securities

12.2

0.4

12.6

103.63

12.8

  4.16

   1.81

   1.50

   50.3

762.0

13.5

775.5

101.79

807.5

  5.50

   2.64

   1.66

   26.9

$

7,359.1

$

120.8

$

7,479.9

101.64

$

7,655.9

  3.39

   2.54

   1.78

     7.6

Residential ARM Portfolio Statistics

16

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

net margin.

Agency RMBS represent over 99% of the portfolio

Use of Financial Spread on Mortgage Assets,

a Non-GAAP Financial Measure (Second Quarter 2010)

17

$ in

millions

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

First

Quarter

2010

Yield/Cost

Interest income:

Mortgage assets

$

47.6

2.55

%

$

–

$

47.6

2.55

%

3.09%

Other interest-earning assets**

0.1

0.1

9

(0.1)

–

–

0.13

47.7

2.47

(0.1)

47.6

2.55

2.99

Interest expense:

Secured borrowings (borrowings under

repurchase agreements)

(11.1)

0.64

–

(11.1)

0.64

0.74

Unsecured borrowings***

(2.2)

8.49

2.2

–

–

8.49

(13.3)

0.76

2.2

(11.1)

0.64

0.85

Net interest margin/financing spread

$

34.4

1.71

$

2.1

$

36.5

1.91

2.14

*

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.

Net interest margin on mortgage assets

and Financing spread on mortgage assets

are non-GAAP financial measures (based solely on