<PAGE>
 
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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, 1997

                                       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 8, 1997

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<PAGE>
 
                          CMC SECURITIES CORPORATION I
                                   FORM 10-Q
                      FOR THE QUARTER ENDED MARCH 31, 1997


                                     INDEX



                        PART I. -- FINANCIAL INFORMATION
 
                                                                      PAGE
                                                                      ----
 
ITEM 1. Financial Statements
 
 Balance Sheet -- March 31, 1997 and December 31, 1996.............     1
 
 Statement of Operations -- QUARTER ENDED MARCH 31, 1997 AND 1996..     2
 
 Statement of Cash Flows -- QUARTER ENDED MARCH 31, 1997 AND 1996..     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
<PAGE>
 
                        PART I. -- FINANCIAL INFORMATION
                          CMC SECURITIES CORPORATION I
                                 BALANCE SHEET
                     (IN THOUSANDS, EXCEPT PER SHARE DATA)


ITEM 1. FINANCIAL STATEMENTS
<TABLE>
<CAPTION>
                                         MARCH 31, 1997    DECEMBER 31, 1996
                                         ---------------   -----------------
                                           (UNAUDITED)
<S>                                    <C>                 <C>
 
ASSETS
 Mortgage securities collateral              $627,867            $647,407
 Cash and cash equivalents                          1                   1
                                             --------            --------
 
                                             $627,868            $647,408
                                             ========            ========
 
LIABILITIES
 Collateralized mortgage securities          $627,867            $647,407
 Accrued expenses                                  32                  30
                                             --------            --------
 
                                              627,899             647,437
                                             --------            --------
 
STOCKHOLDER'S EQUITY
 Common stock - $1 par value,
  10,000 shares authorized,
  issued and outstanding                           10                  10
 Paid-in capital                                   73                  72
 Accumulated deficit                             (114)               (111)
                                             --------            --------
 
                                                  (31)                (29)
                                             --------            --------
 
                                             $627,868            $647,408
                                             ========            ========
 
</TABLE>

See accompanying notes to financial statements.

                                      -1-
<PAGE>
 
                          CMC SECURITIES CORPORATION I
                            STATEMENT OF OPERATIONS
                                  (UNAUDITED)
                                 (IN THOUSANDS)

<TABLE>
<CAPTION>
                                                  QUARTER ENDED MARCH 31
                                                 ------------------------
                                                    1997         1996
                                                 -----------  -----------
<S>                                              <C>          <C>
                                     
Interest income on mortgage          
 securities collateral                              $11,895      $13,441
                                     
Interest expense on collateralized   
 mortgage securities                                 11,519       13,013
                                                    -------      -------
                                     
   Net interest income                                  376          428
                                                    -------      -------
                                     
Other expenses:                      
 Management fees                                          3            3
 Professional fees and other                              -            7
 Pool insurance                                         376          428
                                                    -------      -------
                                     
  Total other expenses                                  379          438
                                                    -------      -------
                                     
Net loss                                            $    (3)     $   (10)
                                                    =======      =======
 
</TABLE>

See accompanying notes to financial statements.

                                      -2-
<PAGE>
 
                          CMC SECURITIES CORPORATION I
                            STATEMENT OF CASH FLOWS
                                  (UNAUDITED)
                                 (IN THOUSANDS)

<TABLE>
<CAPTION>
                                                     QUARTER ENDED MARCH 31
                                                    ------------------------
                                                       1997         1996
                                                    -----------  -----------
<S>                                                 <C>          <C>
 
OPERATING ACTIVITIES:
 Net loss                                             $     (3)    $    (10)
 Noncash item - amortization of discount
  and premium                                               (9)          (8)
 Net change in other assets and accrued expenses             2            2
                                                      --------     --------
   Net cash used by
     operating activities                                  (10)         (16)
                                                      --------     --------
 
INVESTING ACTIVITIES:
 Mortgage securities collateral:
  Principal collections on collateral                   19,345       19,971
  Decrease in accrued interest receivable                  119          125
  Decrease in short-term investments                         2            2
                                                      --------     --------
   Net cash provided by
     investing activities                               19,466       20,098
                                                      --------     --------
 
FINANCING ACTIVITIES:
 Collateralized mortgage securities:
  Principal payments on securities                     (19,345)     (19,971)
  Decrease in accrued interest payable                    (112)        (119)
 Capital contributions                                       1            8
                                                      --------     --------
   Net cash used by
     financing activities                              (19,456)     (20,082)
                                                      --------     --------
 
Net change in cash and cash equivalents                      -            -
 
Cash and cash equivalents at beginning
 of period                                                   1            1
                                                      --------     --------
 
Cash and cash equivalents at end of period            $      1     $      1
                                                      ========     ========
 
</TABLE>

See accompanying notes to financial statements.

                                      -3-
<PAGE>
 
                          CMC SECURITIES CORPORATION I
                         NOTES TO FINANCIAL STATEMENTS
                                 MARCH 31, 1997
                                  (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, 1997 are not necessarily
indicative of the results that may be expected for the calendar year ending
December 31, 1997.  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, 1996.

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, 1997       DECEMBER 31, 1996
                                ---------------      -----------------
<S>                             <C>                  <C>
                         
     Carrying amount                  $627,867            $647,407
     Unrealized gains                    4,148               5,620
     Unrealized losses                  (9,944)             (7,865)
                                      --------            --------
                         
      Fair value                      $622,071            $645,162
                                      ========            ========
</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, 1997 or 1996.

                                      -4-
<PAGE>
 
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
                                   -----------------------------------------
                                         1997                    1996
                                   -----------------       -----------------
                                            AVERAGE                 AVERAGE
                                   AMOUNT     RATE         AMOUNT     RATE
                                   -------  --------       -------  --------
<S>                                <C>      <C>            <C>      <C>
Interest income on mortgage                          
 securities collateral             $11,895     7.54%       $13,441     7.61%
Interest expense on                                  
 collateralized mortgage                             
 securities                         11,519     7.31         13,013     7.42
                                   -------                 -------  
                                                     
Net interest                       $   376                 $   428
                                   =======                 =======
</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                  $(117)     $(1,429)      $(1,546)
Interest expense on                                        
 collateralized mortgage                                   
 securities                              (196)      (1,298)       (1,494)
                                        -----      -------       -------
                                                           
                                        $  79      $  (131)      $   (52)
                                        =====      =======       =======
</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>
 
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").

Since inception the Company has issued approximately $1.7 billion of
collateralized mortgage obligations ("CMOs").  The Company has not retained any
investment in the CMOs issued; therefore, no related economic benefit will be
received and no related net income or loss will be recognized.  However, in
instances where an affiliate retained investments in these CMOs, the issuances
were accounted for as financings, and accordingly, the collateral and bonds are
reflected on the Company's balance sheet.  The Company did not issue any CMOs
during the first quarter of 1997.

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-
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                                   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 8, 1997         By: /s/ RONN K. LYTLE
                               -----------------------------------------
                               Ronn K. Lytle
                               Chairman and Chief Executive Officer



Date:  May 8, 1997         By: /s/ ANDREW F. JACOBS
                               -----------------------------------------
                               Andrew F. Jacobs
                               Senior Vice President - Control
                                and Treasurer

                                      -7-