October results give Capstead hope for Q4

• End of Q3 book value per share of $12.35 falls 3.5% from the end of Q2, and compares to today's close $12.11. Earnings of $0.23 per share compares to last quarter's $0.31 dividend.
• Somewhat significant given prepayment rates on ARMs have so far not fallen along with those for fixed rate mortgages (CMO's CPR rose to 25.5% from 23% in Q3), the first month of Q4 has seen prepayment levels dive 33% from Q3, "creating the potential for significant increases in financing spreads and earnings for the 4th quarter." Financing spreads of 87 basis points in Q3 fell 13 bps from Q2.
• Portfolio runoff has been mostly replaced and company has not sold any assets all year. Holdings (all agency ARMs) stand at $13.7B with leverage of 8.68x.
• Conference call tomorrow at 9 ET.
• Q3 results, press release.
• CMO -0.7% AH.