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                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:  MARCH 31, 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, 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 May 12, 1998

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<PAGE>   2

                          CMC SECURITIES CORPORATION I
                                    FORM 10-Q
                      FOR THE QUARTER ENDED MARCH 31, 1998


                                      INDEX



                        
<TABLE>
<CAPTION>

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

   Balance Sheet -- March 31, 1998 and December 31, 1997................................................      1

   Statement of Operations -- Quarter Ended March 31, 1998 and 1997.....................................      2

   Statement of Cash Flows -- Quarter Ended March 31, 1998 and 1997.....................................      3

   Notes to Financial Statements........................................................................      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>
                                                               MARCH 31, 1998  DECEMBER 31, 1997
                                                               --------------  -----------------
                                                                 (UNAUDITED)
<S>                                                              <C>             <C>       
ASSETS
   Mortgage securities collateral                                $  528,406      $  559,254
                                                                 ==========      ==========

LIABILITIES
   Collateralized mortgage securities                            $  528,406      $  559,254
   Accrued expenses                                                      43              40
                                                                 ----------      ----------
                                                                    528,449         559,294
                                                                 ----------      ----------

STOCKHOLDER'S EQUITY
   Common stock - $1.00 par value,
     10 shares authorized,
     issued and outstanding                                              10              10
   Paid-in capital                                                       91              84
   Accumulated deficit                                                 (144)           (134)
                                                                 ----------      ----------
                                                                        (43)            (40)
                                                                 ----------      ----------
                                                                 $  528,406      $  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 MARCH 31
                                                                 ------------------------------
                                                                     1998              1997
                                                                 ------------      ------------
<S>                                                              <C>               <C>         
Interest income on mortgage
   securities collateral                                         $     10,186      $     11,895

Interest expense on collateralized
   mortgage securities                                                  9,857            11,519
                                                                 ------------      ------------
       Net interest income                                                329               376
                                                                 ------------      ------------

Other expenses:
   Management fees                                                          3                 3
   Professional fees and other                                              7                --
   Pool insurance                                                         329               376
                                                                 ------------      ------------
     Total other expenses                                                 339               379
                                                                 ------------      ------------
Net loss                                                         $        (10)     $         (3)
                                                                 ============      ============
</TABLE>




See accompanying notes to financial statements.

                                      -2-
<PAGE>   5

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


<TABLE>
<CAPTION>
                                                                          QUARTER ENDED MARCH 31
                                                                      ------------------------------
                                                                          1998              1997
                                                                      ------------      ------------
<S>                                                                   <C>               <C>          
OPERATING ACTIVITIES:
   Net loss                                                           $        (10)     $         (3)
   Noncash item - amortization of discount
     and premium                                                                (1)               (9)
   Net change in other assets and accrued expenses                               3                 2
                                                                      ------------      ------------
       Net cash used by
         operating activities                                                   (8)              (10)
                                                                      ------------      ------------

INVESTING ACTIVITIES:
   Mortgage securities collateral:
     Principal collections on collateral                                    30,659            19,345
     Decrease in accrued interest receivable                                   190               119
     Decrease in short-term investments                                          3                 2
                                                                      ------------      ------------
       Net cash provided by
         investing activities                                               30,852            19,466
                                                                      ------------      ------------

FINANCING ACTIVITIES:
   Collateralized mortgage securities:
     Principal payments on securities                                      (30,659)          (19,345)
     Decrease in accrued interest payable                                     (192)             (112)
   Capital contributions                                                         7                 1
                                                                      ------------      ------------
       Net cash used by
         financing activities                                              (30,844)          (19,456)
                                                                      ------------      ------------

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
                                 MARCH 31, 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 ended March 31, 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 year 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>
                                                       MARCH 31, 1998   DECEMBER 31, 1997
                                                       --------------   -----------------
<S>                                                    <C>               <C>         
         Carrying amount                               $    528,406      $    559,254
         Unrealized gains                                    10,725            10,985
         Unrealized losses                                     (830)             (707)
                                                       ------------      ------------

           Fair value                                  $    538,301      $    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 three months ended
March 31, 1998 or during 1997.



                                      -4-
<PAGE>   7

NOTE C -- NET INTEREST INCOME ANALYSIS

The following table summarizes the amount of interest income and interest
expense and the average effective interest rates for mortgage securities
collateral and collateralized mortgage securities (dollars in thousands):

<TABLE>
<CAPTION>
                                                                             QUARTER ENDED MARCH 31
                                                         -------------------------------------------------------------
                                                                   1998                                1997
                                                         -----------------------            --------------------------
                                                                        AVERAGE                              AVERAGE
                                                          AMOUNT         RATE                 AMOUNT           RATE
                                                         ---------     ---------            ----------      ----------
<S>                                                      <C>             <C>                 <C>               <C>  
Interest income on mortgage
   securities collateral                                 $  10,186       7.52%               $  11,895         7.54%
Interest expense on
   collateralized mortgage
   securities                                                9,857       7.28                   11,519         7.31
                                                         ---------                           ---------

Net interest                                             $     329                           $     376
                                                         =========                           =========
</TABLE>

The following table summarizes the amount of change in interest income and
interest expense due to changes in interest rates versus changes in volume (in
thousands):

<TABLE>
<CAPTION>
                                                                RATE*               VOLUME*                TOTAL
                                                                -----               -------                -----
<S>                                                            <C>                 <C>                  <C>
Interest income on mortgage
   securities collateral                                       $  (31)             $  (1,678)           $   (1,709)
Interest expense on
   collateralized mortgage
   securities                                                     (38)                (1,624)               (1,662)
                                                               ------              ---------            ----------

                                                               $    7              $     (54)           $      (47)
                                                               ======              =========            ==========
</TABLE>

*    THE CHANGE IN INTEREST DUE TO BOTH VOLUME AND RATE HAS 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


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:  None.

(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:  May 12, 1998               By: /s/ RONN K. LYTLE
                                      ----------------------------------------
                                      Ronn K. Lytle
                                      Chairman and Chief Executive Officer




Date:  May 12, 1998               By: /s/ JULIE MOORE
                                      ----------------------------------------
                                      Julie Moore
                                      Senior Vice President - Control
                                         and Treasurer




                                     -7-
<PAGE>   10

                                 EXHIBIT INDEX

<TABLE>
<CAPTION>
EXHIBIT NUMBER                DESCRIPTION
--------------                -----------
<S>                     <C>
    27                  Financial Data Schedule
</TABLE>