<PAGE>   1

================================================================================


                UNITED STATES SECURITIES AND EXCHANGE COMMISSION
                             WASHINGTON, D.C. 20549

                                    FORM 10-Q

  |X|    QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES 
-------  EXCHANGE ACT OF 1934
                                                        

FOR THE QUARTERLY PERIOD ENDED:  SEPTEMBER 30, 1998

                                       OR

         TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
-------  EXCHANGE ACT OF 1934

FOR THE TRANSITION PERIOD FROM ____________ TO ______________

COMMISSION FILE NUMBER:  33-5539

                          CMC SECURITIES CORPORATION I
             (Exact name of Registrant as specified in its Charter)

                NEVADA                                         75-2449544
   (State or other jurisdiction of                          (I.R.S. Employer
    incorporation or organization)                         Identification No.)

2711 NORTH HASKELL AVENUE, DALLAS, TEXAS                          75204
(Address of principal executive offices)                        (Zip Code)

        Registrant's telephone number, including area code (214) 874-2323

The Registrant meets the conditions set forth in General Instruction H(1)(a) and
(b) for Form 10-Q and is therefore filing this Form under the reduced disclosure
format.

Indicate by check mark whether the Registrant (1) has filed all documents and
reports required to be filed by Section 13 or 15(d) of the Securities Exchange
Act of 1934 during the preceding 12 months (or for such shorter period that the
Registrant was required to file such reports), and (2) has been subject to such
filing requirements for the past 90 days.  YES [X]   NO
                                              -----     -----

                      APPLICABLE ONLY TO CORPORATE ISSUERS:

Indicate the number of shares outstanding of each of the issuer's classes of
common stock, as of the last practicable date.

Common Stock ($1.00 par value)                    10,000 as of November 3, 1998

================================================================================

<PAGE>   2




                          CMC SECURITIES CORPORATION I
                                    FORM 10-Q
                    FOR THE QUARTER ENDED SEPTEMBER 30, 1998


                                      INDEX


<TABLE>
<CAPTION>

                                                                                                             PAGE
                                                                                                             ---- 
                                         PART I. -- FINANCIAL INFORMATION
<S>                                                                                                          <C>
ITEM 1.       Financial Statements

   Balance Sheet -- September 30, 1998 (Unaudited)
     and December 31, 1997...............................................................................     1

   Statement of Operations -- Quarter and Nine Months Ended
     September 30, 1998 and 1997 (Unaudited).............................................................     2

   Statement of Cash Flows -- Nine Months Ended
     September 30, 1998 and 1997 (Unaudited).............................................................     3

   Notes to Financial Statements (Unaudited).............................................................     4

ITEM 2.       Management's Discussion and Analysis of
              Financial Condition and Results of Operations..............................................     6


                                           PART II. -- OTHER INFORMATION


ITEM 6.       Exhibits and Reports on Form 8-K...........................................................     6

SIGNATURES...............................................................................................     7
</TABLE>


<PAGE>   3




                        PART I. -- FINANCIAL INFORMATION
                          CMC SECURITIES CORPORATION I
                                  BALANCE SHEET
                      (IN THOUSANDS, EXCEPT PER SHARE DATA)


ITEM 1.       FINANCIAL STATEMENTS


<TABLE>
<CAPTION>
                                                                SEPTEMBER 30, 1998             DECEMBER 31, 1997
                                                                ------------------             -----------------
                                                                    (UNAUDITED)
<S>                                                                  <C>                           <C>     
ASSETS
   Mortgage securities collateral                                    $426,612                      $559,254
                                                                     ========                      ========
LIABILITIES
   Collateralized mortgage securities                                $426,612                      $559,254
   Accrued expenses                                                        48                            40
                                                                     --------                      --------

                                                                      426,660                       559,294
                                                                     --------                      --------
STOCKHOLDER'S EQUITY
   Common stock - $1.00 par value,
     10 shares authorized,
     issued and outstanding                                                10                            10
   Paid-in capital  95                                                     95                            84
   Accumulated deficit                                                   (153)                         (134)
                                                                     --------                      --------

                                                                          (48)                          (40)
                                                                     --------                      --------

                                                                     $426,612                      $559,254
                                                                     ========                      ========
</TABLE>







See accompanying notes to financial statements.


                                      -1-
<PAGE>   4




                          CMC SECURITIES CORPORATION I
                             STATEMENT OF OPERATIONS
                                   (UNAUDITED)
                                 (IN THOUSANDS)



<TABLE>
<CAPTION>
                                                                     QUARTER ENDED                             NINE MONTHS ENDED
                                                                      SEPTEMBER 30                               SEPTEMBER 30
                                                               ---------------------------                -------------------------
                                                                1998                 1997                  1998               1997
                                                               ------              -------                ------             ------

<S>                                                            <C>                 <C>                  <C>                 <C>    
Interest income on mortgage
   securities collateral                                       $8,249              $11,241              $27,754             $34,691

Interest expense on collateralized
   mortgage securities                                          7,988               10,879               26,870              33,579
                                                               ------              -------              -------             -------

       Net interest income                                        261                  362                  884               1,112
                                                               ------              -------              -------             -------

Other expenses:
   Management fees                                                  3                    3                    8                   8
   Professional fees and other                                      1                    2                   11                  11
   Pool insurance                                                 261                  362                  884               1,112
                                                               ------              -------              -------             -------

     Total other expenses                                         265                  367                  903               1,131
                                                               ------              -------              -------             -------

Net loss                                                       $   (4)             $    (5)             $   (19)            $   (19)
                                                               =======             ======              =======              ======= 
</TABLE>


See accompanying notes to financial statements.

                                      -2-
<PAGE>   5




                          CMC SECURITIES CORPORATION I
                             STATEMENT OF CASH FLOWS
                                   (UNAUDITED)
                                 (IN THOUSANDS)



<TABLE>
<CAPTION>
                                                                               NINE MONTHS ENDED SEPTEMBER 30
                                                                         -----------------------------------------
                                                                            1998                            1997
                                                                         ---------                       ---------
<S>                                                                      <C>                             <C>      
OPERATING ACTIVITIES:
   Net loss                                                              $     (19)                      $    (19)
   Noncash item - amortization of
     discount and premium                                                      (60)                           (28)
   Net change in other assets and
     accrued expenses                                                            8                              8
                                                                         ---------                       --------
       Net cash used by
         operating activities                                                  (71)                           (39)
                                                                         ---------                       --------

INVESTING ACTIVITIES:
   Mortgage securities collateral:
     Principal collections on collateral                                   131,973                         61,314
     Decrease in accrued interest receivable                                   825                            377
     Decrease in short-term investments                                         20                              3
                                                                         ---------                       --------
       Net cash provided by
         investing activities                                              132,818                         61,694
                                                                         ---------                       --------

FINANCING ACTIVITIES:
   Collateralized mortgage securities:
     Principal payments on securities                                     (131,973)                       (61,314)
     Decrease in accrued interest payable                                     (785)                          (352)
   Capital contributions                                                        11                             11
                                                                         ---------                       --------
       Net cash used by financing
         activities                                                       (132,747)                       (61,655)
                                                                         ---------                       --------

Net change in cash and cash equivalents                                          -                              -

Cash and cash equivalents at beginning
   of period                                                                     -                              1
                                                                         ---------                       --------

Cash and cash equivalents at end of
   period                                                                $       -                       $      1
                                                                         =========                       =========
</TABLE>



See accompanying notes to financial statements.


                                      -3-
<PAGE>   6



                          CMC SECURITIES CORPORATION I
                          NOTES TO FINANCIAL STATEMENTS
                               SEPTEMBER 30, 1998
                                   (UNAUDITED)


NOTE A -- BASIS OF PRESENTATION

The accompanying unaudited financial statements have been prepared in accordance
with generally accepted accounting principles for interim financial information
and with the instructions to Form 10-Q and Rule 10-01 of Regulation S-X.
Accordingly, they do not include all of the information and footnotes required
by generally accepted accounting principles for complete financial statements.
In the opinion of management, all adjustments (consisting of normal recurring
accruals) considered necessary for a fair presentation have been included.
Operating results for the quarter and nine months ended September 30, 1998 are
not necessarily indicative of the results that may be expected for the calendar
year ending December 31, 1998. For further information refer to the financial
statements and footnotes thereto included in the CMC Securities Corporation I
annual report on Form 10-K for the period ended December 31, 1997.

NOTE B -- DISCLOSURES REGARDING FAIR VALUES OF MORTGAGE SECURITIES COLLATERAL

The estimated fair values of mortgage securities collateral have been determined
by using available market information and appropriate valuation methodologies;
however, considerable judgment is required in interpreting market data to
develop these estimates. In addition, fair values fluctuate on a daily basis.
Accordingly, the estimates presented herein are not necessarily indicative of
the amounts that could be realized in a current market exchange. The use of
different market assumptions and/or estimation methodologies may have a material
effect on the estimated fair value amounts.

The fair values of mortgage securities collateral were estimated using quoted
market prices, when available, including quotes made by Capstead Mortgage
Corporation's lenders in connection with designating collateral for repurchase
arrangements.

The following table summarizes the fair values of mortgage securities collateral
(in thousands):

<TABLE>
<CAPTION>
                                                     SEPTEMBER 30, 1998                DECEMBER 31, 1997
                                                     ------------------                -----------------

<S>                                                       <C>                              <C>     
         Carrying amount                                  $426,612                         $559,254
         Unrealized gains                                    9,984                           10,985
         Unrealized losses                                       -                             (707)
                                                          --------                         --------
           Fair value                                     $436,596                         $569,532
                                                          ========                         ========
</TABLE>

All mortgage securities collateral is held-to-maturity. The maturity of mortgage
securities collateral is directly affected by the rate of principal prepayments
by mortgagors. In addition, upon the redemption of remaining bonds outstanding
pursuant to clean-up calls, released collateral may be sold. Such sales are
deemed maturities under the provisions of Statement of Financial Accounting
Standards No. 115. No such redemptions occurred during the nine months ended
September 30, 1998 or during 1997.



                                      -4-
<PAGE>   7



NOTE C -- NET INTEREST INCOME ANALYSIS

The following tables summarize interest income and interest expense and the
average effective interest rates for the periods indicated (dollars in
thousands):

<TABLE>
<CAPTION>
                                                                      QUARTER ENDED SEPTEMBER 30
                                                       -------------------------------------------------------------
                                                              1998                                  1997
                                                       --------------------                  -----------------------
                                                                    AVERAGE                                 AVERAGE
                                                       AMOUNT         RATE                   AMOUNT           RATE
                                                       ------       -------                  ------         --------
<S>                                                    <C>           <C>                     <C>             <C>  
Interest income on mortgage                            
   securities collateral                               $8,249        7.43%                   $11,241         7.57%
Interest expense on
   collateralized mortgage
   securities                                           7,988        7.20                     10,879         7.33
                                                       ------                                -------
Net interest                                           $  261                                $   362
                                                       ======                                =======
</TABLE>


<TABLE>
<CAPTION>
                                                                     NINE MONTHS ENDED SEPTEMBER 30
                                                       ------------------------------------------------------------
                                                               1998                                   1997
                                                       ---------------------                 ----------------------
                                                                    AVERAGE                                 AVERAGE
                                                       AMOUNT         RATE                   AMOUNT           RATE
                                                       -------      --------                 ------         -------  
<S>                                                    <C>           <C>                     <C>             <C>  
Interest income on mortgage
   securities collateral                               $27,754       7.50%                   $34,691         7.53%
Interest expense on
   collateralized mortgage
   securities                                           26,870       7.27                     33,579         7.29
                                                       -------                               -------
Net interest                                           $   884                               $ 1,112
                                                       =======                               =======
</TABLE>

The following tables summarize changes in interest income and interest expense
due to changes in interest rates, versus changes in volume for the quarter and
nine months ended September 30, 1998, compared to the same periods in 1997 (in
thousands):

<TABLE>
<CAPTION>
                                                                       QUARTER ENDED SEPTEMBER 30, 1998
                                                                ------------------------------------------------      
                                                                RATE*               VOLUME*                TOTAL
                                                                -----               -------                -----       
<S>                                                             <C>                 <C>                   <C>     
Interest income on mortgage
   securities collateral                                        $(199)              $(2,793)              $(2,992)
Interest expense on
   collateralized mortgage
   securities                                                    (183)               (2,708)               (2,891)
                                                                -----               -------               -------
                                                                $ (16)              $   (85)              $  (101)
                                                                =====               =======               =======
</TABLE>

<TABLE>
<CAPTION>
                                                                       NINE MONTHS ENDED SEPTEMBER 30, 1998
                                                               -------------------------------------------------
                                                               RATE*                VOLUME*                TOTAL
                                                               -----                -------                -----  
<S>                                                           <C>                   <C>                   <C>     
Interest income on mortgage
   securities collateral                                      $(119)                $(6,818)              $(6,937)
Interest expense on
   collateralized mortgage
   securities                                                  (106)                 (6,603)               (6,709)
                                                              -----                 -------               -------
                                                              $ (13)                $  (215)              $  (228)
                                                              =====                 =======               =======
</TABLE>


*    THE CHANGES IN INTEREST INCOME AND EXPENSE DUE TO BOTH VOLUME AND RATE HAVE
     BEEN ALLOCATED TO VOLUME AND RATE CHANGES IN PROPORTION TO THE RELATIONSHIP
     OF THE ABSOLUTE DOLLAR AMOUNTS OF THE CHANGE IN EACH.


                                      -5-

<PAGE>   8



ITEM 2.       MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND 
              RESULTS OF OPERATIONS


FINANCIAL CONDITION AND RESULTS OF OPERATIONS

CMC Securities Corporation I (the "Company"), was incorporated in Nevada on May
7, 1986 as a special-purpose finance corporation and is a wholly-owned
subsidiary of Capstead Mortgage Corporation ("CMC").

As of November 30, 1993, the Company had issued 10 series of collateralized
mortgage obligations ("CMOs") with an aggregate original principal balance of
$1,727,627,000 under the registration statement. These issuances have been
accounted for as financings. The Company has essentially issued the maximum
amount of securities under the $1.732 billion amended registration statement
and, therefore, the Company has not issued any CMOs since November 30, 1993.
Since the Company did not retain any investment in the CMOs issued, no economic
benefit was or will be received, thus no net income or loss was or will be
recognized.

The Company's net losses are due to operational costs incurred (management and
professional fees).

LIQUIDITY AND CAPITAL RESOURCES

All ongoing CMO expenses of the Company are paid out of the excess cash flows on
the CMOs issued before the residual holders receive their residual interest. The
Company believes that the excess cash flows will be sufficient to pay ongoing
CMO expenses. Cash flow requirements due to ongoing operational costs are funded
by CMC.


                          PART II. -- OTHER INFORMATION


ITEM 6.       EXHIBITS AND REPORTS ON FORM 8-K:

(a)     Exhibits:

        Exhibit 27 Financial Data Schedule (electronic filing only).

(b)     Reports on Form 8-K:  None.




                                      -6-
<PAGE>   9



                                   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 thereunto duly authorized.


                                      CMC SECURITIES CORPORATION I




Date:  November 3, 1998               By:   /s/ RONN K. LYTLE
                                            ----------------------------
                                            Ronn K. Lytle
                                            Chairman and Chief Executive Officer




Date:  November 3, 1998               By:   /s/ ANDREW F. JACOBS
                                            ----------------------------
                                            Andrew F. Jacobs
                                            Executive Vice President - Finance,
                                              Treasurer and Secretary




                                      -7-
<PAGE>   10


                                  EXHIBIT INDEX

Exhibit             Description

  27                Financial Data Schedule