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INVESTOR PRESENTATIONFIRST QUARTER 2019

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Statement Concerning Forward-looking Statements

This document contains “forward-looking statements” within the meaning of the Private SecuritiesLitigation Reform Act of 1995. Forward-looking statements include, without limitation, any statement thatmay predict, forecast, indicate or imply future results, performance or achievements, and may contain thewords “believe,” “anticipate,” “expect,” “estimate,” “intend,” “will be,” “will likely continue,” “will likely result,”or words or phrases of similar meaning.

Actual results could differ materially from those projected in these forward-looking statements due to avariety of factors, without limitation, fluctuations in interest rates, the availability of suitable qualifyinginvestments, changes in mortgage prepayments, the availability and terms of financing, changes in marketconditions as a result of federal corporate and individual tax reform, changes in legislation or regulationaffecting the mortgage and banking industries or Fannie Mae, Freddie Mac or Ginnie Mae securities, theavailability of new investment capital, the liquidity of secondary markets and credit markets, and otherchanges in general economic conditions. These and other applicable uncertainties, factors and risks aredescribed more fully in the Company’s filings with the U.S. Securities and Exchange Commission.

Forward-looking statements speak only as of the date the statement is made and the Company undertakesno 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 unduereliance on any forward-looking statements included herein.

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Safe Harbor Statement -Private Securities Litigation Reform Act of 1995

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• With the Federal Reserve now on hold, we anticipate more stable borrowing costs and higher portfolioyields leading to potentially higher earnings in the coming quarters.

Company Summary

Proven Strategy, Efficiently Executed

• Founded in 1985, Capstead is the oldest publicly-traded residential mortgage REIT.• We manage a leveraged portfolio of adjustable-rate residential mortgage securities issued by Fannie Mae,

Freddie Mac, or Ginnie Mae that can earn attractive risk-adjusted returns.• At March 31, 2019, our ARM securities portfolio stood at $12.2 billion, supported by $1.2 billion in long-

term investment capital levered 9.6 times.

• Our short-duration strategy differentiates us from our peers because the adjustable-rate mortgagesunderlying our portfolio reset to more current interest rates within a relatively short period of time:

• Resulting in smaller fluctuations in portfolio values from changes in interest rates compared toportfolios containing longer duration investments such as fixed-rate mortgage securities. Ourasset duration was approximately 13½ months at quarter-end.

• This relative stability affords us more flexibility in managing through periods of market stress.• Our strategy is designed to insulate investors from credit and, to a large degree, interest rate risk.• We routinely borrow for 30 to 90 days and extend the duration of our borrowings primarily using two- to

three-year term, pay-fixed, receive three-month LIBOR, interest rate swap agreements.• We have long-term relationships with a variety of domestic and foreign lending counterparties. At

quarter-end we had borrowings outstanding with 22 counterparties. After considering swaps, wehad a zero net duration gap at quarter-end.

• We are internally managed with low operating costs and a strong focus on performance-basedcompensation ensuring the alignment of management’s interests with those of our stockholders.

• For investors seeking levered returns with a comparably higher degree of safety from interestrate and credit risk, we believe Capstead represents a compelling opportunity that is difficult tofind elsewhere in the market.

• Duration is a measure of market price sensitivity to interest rate movements. A shorter duration generally indicates less interest rate risk.

Value Proposition

About Capstead Mortgage Corporation

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Current Opportunity

ABCDE

MEZZANINE CAPITALCOMMON EQUITY CAPITAL

50%

16%

84%

Market Snapshot

As of May 1, 2019, we had approximately $1.0 billion of market capitalization consisting of common and preferred shares listed on the New York Stock Exchange.

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NYSE: CMOPRE 7.50%(in thousands, except per share data)

Shares outstanding (3/31/19): 10,329

Price (5/1/19): $25.25

Perpetual preferred; callable at $25 par

Cost of preferred capital: 7.72%

Shares outstanding (3/31/19): 85,580

NYSE: CMO(in thousands, except per share data)

Book value (3/31/2019): $9.43

Price (5/1/19): $8.51

Market capitalization (5/1/19): $728,286

Price as a multiple of book value: 90.2%

LONG-TERM UNSECURED BORROWINGS

Recorded amount, net (3/31/19): $98,317

Cost of capital: 7.74%

Market capitalization (5/1/19): $260,807

Matures in 2035/2036; callable at $100 par

ABCDELong-Term Investment Capital

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We are incented to grow the Company by raising capital based solely on the attractiveness of the opportunity for our stockholders rather than for the purpose of increasing compensation or external

management fees. We view share repurchases in the same way.

• Beginning of quarter book value used to illustrate discount and calculate accretion on stock repurchases.

Recent Stock Repurchases Shares Capital Deployed

Price, net of expenses

Discount to Trailing BV

BV Accretion

2017 397,352 3,460,000$ 8.71$ 80.0% 0.009$ 2018 10,653,060 84,594,000 7.94 77.5% 0.288 Q1 2019 - - - - -

11,050,412 88,054,000$

Long

-term

Inve

stm

ent C

apita

l

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INVESTMENT PORTFOLIONET INCOME & BOOK VALUE

Book Value+0.4%

$9.39 $9.43

Q4 2018 Q1 2019

FINANCING

$(0.15) $0.12GAAP EPS Core EPS

$12.23B $1.16BPortfolio Value Investment Capital

$11.22B $8.3BSecured Borrowings Hedge Portfolio

Core Earnings+140%

$0.05

$0.12

Q4 2018 Q1 2019

Yield on Investments+18%

2.34%2.75%

Q4 2018 Q1 2019

Secured Borrowings+8%

2.07% 2.23%

Q4 2018 Q1 2019

Leverage+2%

9.49x 9.65x

Q4 2018 Q1 2019

First Quarter Financial Highlights

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Longer to

Reset50% Yet to

Reset 16%

Post Initial Reset 84%Current

Reset 50%

ARM Securities Portfolio

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Economic return is a key metric for mortgage REITs. Our strategy typically leads to outperformance during periods of rising interest rates and/or worsening

credit conditions relative to other residential mortgage REITs. Absolute returns tend to be strongest when short-term interest rates are stable or declining.

• Agency Peers: AGNC, AI, ANH, ARR, CYS, EARN, HTS, NLY, ORC (HTS through 2016; CYS through 2018). • Broader REIT Peers: Agency peers plus AMTG, CIM, DX, HCFT, IVR, JMI, MFA, MITT, MTGE, NYMT, RWT, TWO, WMC (HTS, AMTG and JMI through 2016; HCFT and

MTGE through 2018). • CMO economic returns exclude $(0.28) per share associated with 2013 preferred capital redemption and issuance transactions and $(0.03) per share in separation of

service charges incurred in 2016. Including the effects of these items, our economic returns would have been lower by 206 basis points in 2013 and by nine, five, and 39 basis points for the 3-, 5- and 6-year averages, respectively.

Reasonable Risk-Adjusted Economic Returns (Changes in Book Value plus Dividends)

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ABCDEStability in Book Value

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Our strategy has led to consistently low volatility in our economic return performance.

• Data calculated from Q1 2014 – Q4 2018 results using company filings.

Standard Deviation of Quarterly Economic Returns Over Last Five Calendar Years

ABCDEA Leader in Operating Cost Efficiency

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Capstead is internally-managed with low operating costs and stands out as a leader among our mortgage REIT peers (as well as other investment vehicles) in terms of operating cost efficiency.

Operating expensesYear Ended Dec 31, 2018

Quarter Ended March 31, 2019

Compensation-related expenses: Fixed: 0.30% 0.37% Variable: 0.32 0.56

0.62 0.93Other platform expenses 0.36 0.39

Operating expenses as a % of avg LTIC 0.98% 1.32%Operating expenses as a % of avg total assets 0.09% 0.12%

• Chart data presented as of 12/31/18 using company filings, calculated as operating expenses divided by average long-term investment capital.• Variable expense excludes the effects of an adjustment to prior year annual incentive compensation accruals of $949,000 from operating costs as a

percentage of average LTIC due to Capstead’s outperformance relative to its peers. Including these effects, operating costs as a percentage ofaverage LTIC were an annualized 1.65% during the quarter ended March 31, 2019.

2018 Operating Cost Efficiency Comparison

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ARM Portfolio CharacteristicsAs of March 31, 2019 (dollars in thousands, unaudited)

Principal Balance

Investment Premiums

Fair Market Value

Net WAC

Fully-Indexed

WAC

Average Net

Margins Months to Roll

Current-reset ARMs:Fannie Mae Agency Securities $ 3,297,530 $ 106,798 $ 3,404,328 103.24 $ 3,439,387 4.12% 4.25% 1.66% 6.2Freddie Mac Agency Securities 1,451,183 52,038 1,503,221 103.59 1,515,076 4.07 4.44 1.77 7.3Ginnie Mae Agency Securities 1,150,026 38,289 1,188,315 103.33 1,193,211 3.60 3.91 1.51 6.2Residential Mortgage Loans 806 4 810 100.50 823 3.90 4.65 2.06 6.7

(50% of total) 5,899,545 197,129 6,096,674 103.34 6,148,497 4.01 +0.22 4.23 1.66 6.5

Longer-to-reset ARMs:Fannie Mae Agency Securities 2,788,652 67,836 2,856,488 102.43 2,836,443 2.98 4.19 1.61 41.8Freddie Mac Agency Securities 1,307,435 33,835 1,341,270 102.59 1,327,740 2.94 4.35 1.64 39.6Ginnie Mae Agency Securities 1,876,059 40,360 1,916,419 102.15 1,914,414 3.33 3.90 1.50 46.7

(50% of total) 5,972,146 142,031 6,114,177 102.38 6,078,597 3.08 +1.06 4.14 1.58 42.9

11,871,691$ 339,160$ 12,210,851$ 102.86 12,227,094$ 3.54 +0.64 4.18 1.62 24.8

Gross WAC (rate paid by borrowers) 4.13

Amortized Cost Basis

• 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, asof March 31, 2019. Net WAC is expressed as a percentage calculated on an annualized basis on the unpaid principal balances of the mortgage loans underlying theseinvestments. As such, it is similar to the cash yield on the portfolio which is calculated using amortized cost basis. Fully-Indexed WAC represents the weighted averagecoupon upon one or more resets using interest rate indexes and net margins in effect as of March 31, 2019.

• Excludes $1 million in legacy portfolio of fixed-rate residential mortgage investments.

A positive spread between Net WAC and Fully-Indexed WAC on our current-reset ARMs, together with higher coupons on acquisitions, will be an opportunity to earn higher cash yields over the course of 2019.

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One-month LIBOR, a proxy for our borrowing costs, and the primary indices affecting cash yields of our portfolio increased in recent years due to the effects federal funds rate increases. Ten-year Treasury rates, a proxy for mortgage interest rates, did not keep pace. With the Federal Reserve now indicating it will not

increase rates further in 2019, market interest rates have trended lower since year-end.

Historical Interest Rates Affecting Earnings

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ARMs tend to prepay faster than fixed-rate MBS and are priced accordingly. We anticipate declines in mortgage rates since late 2018 will have a greater impact on fixed-rate

prepayment speeds than on ARM speeds in the coming quarters largely because declines in underlying indices have reduced refinancing opportunities for ARM borrowers.

Agency Mortgage Prepayment Speeds

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APPENDIX

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ABCDEQuarterly Income Statements

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(dollars in thousands, except per share amounts, unaudited)March December September June March2019 2018 2018 2018 2018

Interest income: Residential mortgage investments 83,807$ 72,902$ 67,649$ 65,202$ 69,138$ Other 422 626 350 305 408

84,229 73,528 67,999 65,507 69,546 Interest expense: Secured borrowings (63,779) (59,321) (54,393) (48,241) (45,021) Unsecured borrowings (1,891) (1,910) (1,910) (1,900) (1,891)

(65,670) (61,231) (56,303) (50,141) (46,912) 18,559 12,297 11,696 15,366 22,634

Other(expense) income: Loss on derivative instruments (net) (21,657) - - - - Compensation-related expense (3,609) (2,238) (1,913) (1,560) (2,048) Other general and administrative expense (1,128) (1,207) (1,184) (899) (1,237) Miscellaneous other revenue 89 132 81 81 71

(26,305) (3,313) (3,016) (2,378) (3,214) Net (loss) income (7,746) 8,984 8,680 12,988 19,420

Less preferred stock dividends (4,842) (4,842) (4,842) (4,842) (4,842) Net (loss) income to common stockholders (12,588)$ 4,142$ 3,838$ 8,146$ 14,578$

Net income per diluted common share (0.15)$ 0.05$ 0.04$ 0.09$ 0.16$

Average balance of mortgage assets 12,169,106 12,442,410 13,026,636 13,025,353 13,303,044

Average secured borrowings 11,156,608 11,439,646 11,957,518 11,914,562 12,235,554

Average long-term investment capital ("LTIC") 1,161,815$ 1,188,553$ 1,258,367$ 1,280,231$ 1,314,537$

Core earnings 15,471 8,984 8,680 12,988 19,420

Core earnings per diluted common share 0.12 0.05 0.05 0.09 0.16

CPR 20.62% 22.37% 25.71% 23.82% 19.64%

Average total financing spreads 0.42 0.22 0.21 0.33 0.55

Average financing spreads on residential mortgage investments 0.52 0.27 0.26 0.38 0.61

Operating costs as a percentage of average LTIC 1.32 1.15 0.98 0.77 1.01

Return on average common equity capital 5.33 1.96 1.69 3.51 6.12

Quarter Ended

• See page 17 for information regarding core earnings, core earnings per diluted common share and average financing spreads on residential mortgage investments, whichare non-GAAP financial measures.

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Annual Income Statements –Five Years Ended 2018

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

2018 2017 2016 2015 2014

Interest income:Residential mortgage investments 274,891$ 232,435$ 212,694$ 215,989$ 226,749$ Other 1,689 964 637 341 315

276,580 233,399 213,331 216,330 227,064 Interest expense:

Secured borrowings (206,976) (138,757) (107,653) (85,521) (65,155) Unsecured borrowings (7,611) (7,610) (7,833) (8,454) (8,488)

(214,587) (146,367) (115,486) (93,975) (73,643) 61,993 87,032 97,845 122,355 153,421

Other revenue (expense):Compensation-related expense (7,759) (4,915) (11,749) (10,200) (8,302) Other general and administrative expense (4,527) (4,689) (4,682) (4,798) (4,157) Miscellaneous other revenue (expense) 365 2,161 1,459 968 (142)

(11,921) (7,443) (14,972) (14,030) (12,601) Net income 50,072$ 79,589$ 82,873$ 108,325$ 140,820$

Net income per diluted common share $0.34 $0.65 $0.70 $0.97 $1.33

Average balance of mortgage assets 12,947,215 13,406,614 13,658,034 13,922,698 13,424,149

Average long-term investment capital ("LTIC") 1,257,903$ 1,359,067$ 1,384,074$ 1,476,953$ 1,498,252$

CPR 23.20% 20.37% 17.28%

Average total financing spreads 0.64 0.81 1.06

Average financing spreads on residential mortgage investments 0.72 0.89 1.17

Operating costs as a percentage of average LTIC 0.97 1.02 0.83

Return on average common equity capital 6.20 7.86 10.37 3.38 5.96

0.61

0.33 0.55

23.97%

Year Ended

0.38

22.89%

0.98 0.71

• See page 17 for information regarding average financing spreads on residential mortgage investments, a non-GAAP financial measure.• Year ended December 31, 2017 excludes the effects of an adjustment to prior year annual incentive compensation accruals of $938,000 from operating

costs as a percentage of average LTIC. Year ended December 31, 2016 excludes the effects of separation of service charges totaling $(3.0 million) andan adjustment to the prior year annual incentive compensation accrual of $(655,000).

ABCDEComparative Balance Sheets

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(dollars in thousands, except per share amounts, unaudited)March 31, December 31, December 31, December 31, December 31,

2019 2018 2017 2016 2015

AssetsResidential mortgage investments 12,228,422$ 11,965,381$ 13,454,098$ 13,316,282$ 14,154,737$ Cash collateral receivable from interest rate swap counterparties 58,191 31,797 42,506 29,660 50,193 Derivative instruments at fair value 7,037 - - 24,709 7,720 Cash and cash equivalents 32,433 60,289 103,907 56,732 54,185 Receivables and other assets 115,691 129,058 132,938 149,493 179,531

12,441,774$ 12,186,525$ 13,733,449$ 13,576,876$ 14,446,366$ Liabilities

Secured borrowings 11,222,451$ 10,979,362$ 12,331,060$ 12,145,346$ 12,958,394$ Derivative instruments at fair value 21,903 17,834 23,772 24,417 26,061 Unsecured borrowings 98,317 98,292 98,191 98,090 97,986 Common stock dividend payable 7,110 7,132 18,487 22,634 25,979 Accounts payable and accrued expenses 27,115 24,842 23,063 38,702 39,622

11,376,896 11,127,462 12,494,573 12,329,189 13,148,042 Stockholders' Equity

Preferred stock 250,946 250,946 250,946 199,059 197,172 Common stock 810,624 829,163 925,812 942,842 965,057 Accumulated other comprehensive income (loss) 3,308 (21,046) 62,118 105,786 136,095

1,064,878 1,059,063 1,238,876 1,247,687 1,298,324 12,441,774$ 12,186,525$ 13,733,449$ 13,576,876$ 14,446,366$

Book value per common share (based on outstanding shares of common stock and calculated assuming liquidation preferencesfor preferred stock) (unaudited) $9.43 $9.39 $10.25 $10.85 $11.42

Long-term investment capital (stockholders' equity andunsecured borrowings) (unaudited) $1,163,195 $1,157,355 $1,337,067 $1,345,777 $1,396,310

Portfolio leverage (secured borrowings divided by long-term investment capital) (unaudited) 9.65:1 9.49:1 9.22:1 9.02:1 9.28:1

ABCDE

$9.39$0.51

$0.22$0.23 $0.02

$9.43

Beginning BVper share

Portfolio Change Swap Impact Dividend in Excessof Earnings

Other Ending BVper share

---

$9.39$0.51

$0.49$0.04

$0.02$9.43

Beginning BVper share

Portfolio Change Swap Impact Core Earnings inExcess of Dividend

Other Ending BV per share

- -

Book Value per Common Share

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GAAP Earnings Progression

Core Earnings Progression

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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. We believe presenting financing spreads on residential mortgage investments provides useful information for evaluating the performance of the Company’s portfolio.

Non-GAAP Financial Measures(dollars in thousands, except per share amounts, unaudited)

Amount Per Share Amount Per Share Amount Per Share Amount Per Share Amount Per Share

Net (loss) income (7,746)$ (0.15)$ 8,984$ 0.05$ 8,960$ 0.04$ 12,988$ 0.09$ 19,420$ 0.16$ Unrealized loss on derivative instruments 26,237 0.31 – – – – – – – –Amortization of unrealized gain in Accumulated

other comprehensive income (3,020) (0.04) – – – – – – – –Core earnings 15,471$ 0.12$ 8,984$ 0.05$ 8,960$ 0.04$ 12,988$ 0.09$ 19,420$ 0.16$

Q12019 2018

Q4 Q3 Q2 Q1

2019Q1 Q4 Q3 Q2 Q1 2018 2017 2016 2015 2014

Total financing spreads 0.42% 0.22% 0.21% 0.33% 0.55% 0.33% 0.55% 0.64% 0.81% 1.06%Impact of yields on other interest-earning assets - - - - 0.01 - 0.01 0.02 0.03 0.05 Impact of borrowing rates on other interest-paying liabilities 0.05 0.05 0.05 0.05 0.05 0.05 0.05 0.06 0.05 0.06 Impact of amortization of unrealized gain in Accumulated other comprehensive income (0.11) - - - - - - - - - Impact of net interest cash flows on non-designated Derivatives 0.16 - - - - - - - - - Financing spreads on residential mortgage investments 0.52 0.27 0.26 0.38 0.61 0.38 0.61 0.72 0.89 1.17

2018 Year Ended

• On March 1, 2019, the Company discontinued its use of hedge accounting on its interest rate swaps related to secured borrowings and introduced a core earnings metric.

ABCDE

Phillip A. Reinsch – President and Chief Executive Officer• Appointed President, CEO and Director in July 2016 after serving as Chief Financial Officer since 2003• Served in other executive positions at Capstead since 1993

Robert R. Spears – Executive Vice President, Chief Investment Officer• Served in asset and liability management positions at Capstead since 1994• Formerly Vice President of secondary marketing with NationsBanc Mortgage Corporation

Roy S. Kim – Senior Vice President, Asset and Liability Management and Treasurer• Joined Capstead in April 2015 augmenting our asset and liability management capabilities with primary responsibility for liability

management• Has over 20 years experience in the mortgage finance industry, primarily in trading capacities with JP Morgan and Bank of

America

Lance J. Phillips – Senior Vice President, Chief Financial Officer and Secretary• Joined Capstead in October 2017 • Has 20 years experience in the accounting and finance industry, most recently as Vice President and Principal Accounting Officer

for InfraREIT, Inc.

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Our top four executive officers have over 75 years of mortgage finance industry experience.

Experienced Management Team