<PAGE>   1
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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, 2000

                                       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: 33-42337

                       CAPSTEAD SECURITIES CORPORATION IV
             (Exact name of Registrant as specified in its Charter)

           DELAWARE                                              75-2390594
(State or other jurisdiction of                               (I.R.S. Employer
 incorporation or organization)                              Identification No.)

8401 N CENTRAL EXPRESSWAY, SUITE 800, DALLAS, TX                    75225
   (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)                          1,000 as of May 10, 2000


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<PAGE>   2


                       CAPSTEAD SECURITIES CORPORATION IV
                                    FORM 10-Q
                      FOR THE QUARTER ENDED MARCH 31, 2000


                                      INDEX



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

   Balance Sheet -- March 31, 2000 and December 31, 1999..................................................    1

   Statement of Operations -- Quarter Ended March 31, 2000 and 1999.......................................    2

   Statement of Cash Flows -- Quarter Ended March 31, 2000 and 1999.......................................    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 1. Legal Proceedings.................................................................................    7

ITEM 5. Other Information.................................................................................    7

ITEM 6. Exhibits and Reports on Form 8-K..................................................................    7

SIGNATURES................................................................................................    8
</TABLE>


<PAGE>   3


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


ITEM 1. FINANCIAL STATEMENTS


<TABLE>
<CAPTION>
                                          MARCH 31, 2000     DECEMBER 31, 1999
                                          --------------     -----------------
                                            (UNAUDITED)
<S>                                       <C>                 <C>
ASSETS
   Mortgage securities collateral         $      178,685      $      193,490
   Cash and cash equivalents                          48                  25
   Other assets                                        8                   9
                                          --------------      --------------

                                          $      178,741      $      193,524
                                          ==============      ==============

LIABILITIES
   Collateralized mortgage securities     $      178,393      $      191,601
   Accrued expenses                                   62                  60
                                          --------------      --------------

                                                 178,455             191,661
                                          --------------      --------------

STOCKHOLDER'S EQUITY
   Common stock - $1.00 par value,
     1 shares authorized,
     issued and outstanding                            1                   1
   Paid-in capital                                   691                 691
   Undistributed loss                                (13)                (14)
   Accumulated other comprehensive
     income (loss)                                  (393)              1,185
                                          --------------      --------------

                                                     286               1,863
                                          --------------      --------------

                                          $      178,741      $      193,524
                                          ==============      ==============
</TABLE>


See accompanying notes to financial statements.


                                      -1-
<PAGE>   4


                       CAPSTEAD SECURITIES CORPORATION IV
                             STATEMENT OF OPERATIONS
                                   (UNAUDITED)
                                 (IN THOUSANDS)


<TABLE>
<CAPTION>
                                                  QUARTER ENDED MARCH 31
                                                  ----------------------
                                                    2000          1999
                                                   -------      -------
<S>                                                <C>          <C>
Interest income:
   Mortgage securities collateral                  $ 3,379      $ 7,402
   Receivable from Parent                               --           22
                                                   -------      -------

       Total interest income                         3,379        7,424
                                                   -------      -------

Interest expense on collateralized
   mortgage securities                               3,244        7,018
                                                   -------      -------

         Net interest income                           135          406
                                                   -------      -------

Other operating revenue (expense):
   Gain on sale of released
     mortgage securities collateral                     --        2,644
   Loss on redemption of collateralized
     mortgage securities                                --         (872)
   Management fees                                      (3)          (3)
   Professional fees and other                          (2)          (8)
   Pool insurance                                     (129)        (358)
                                                   -------      -------

       Total other operating revenue (expense)        (134)       1,403
                                                   -------      -------

Net income                                               1        1,809
                                                   -------      -------

Other comprehensive loss                            (1,578)      (1,220)
                                                   -------      -------

Comprehensive income (loss)                        $(1,577)     $   589
                                                   =======      =======
</TABLE>


See accompanying notes to financial statements.


                                      -2-
<PAGE>   5


                       CAPSTEAD SECURITIES CORPORATION IV
                             STATEMENT OF CASH FLOWS
                                   (UNAUDITED)
                                 (IN THOUSANDS)


<TABLE>
<CAPTION>
                                                      QUARTER ENDED MARCH 31
                                                     ------------------------
                                                       2000            1999
                                                     ---------      ---------
<S>                                                  <C>            <C>
OPERATING ACTIVITIES:
   Net income                                        $       1      $   1,809
   Noncash item - amortization of
     discount and premium                                  (40)          (102)
   Net change in other assets and
     accrued expenses                                        3            629
   Gain on sale of released mortgage
     securities collateral                                  --         (2,644)
   Loss on redemption of collateralized
     mortgage securities                                    --            872
                                                     ---------      ---------
       Net cash provided (used) by
         operating activities                              (36)           564
                                                     ---------      ---------

INVESTING ACTIVITIES:
   Mortgage securities collateral:
     Principal collections on collateral                12,798         73,634
     Decrease in accrued interest receivable                83          1,274
     Decrease in short-term investments                     69         10,803
   Sale of released mortgage securities
     collateral                                             --        108,783
                                                     ---------      ---------

       Net cash provided by investing activities        12,950        194,494
                                                     ---------      ---------

FINANCING ACTIVITIES:
   Collateralized mortgage securities:
     Principal payments on securities                  (12,863)      (188,533)
     Decrease in accrued interest payable                  (28)        (1,668)
   Capital distributions                                    --         (3,692)
   Dividends paid                                           --         (1,482)
                                                     ---------      ---------

       Net cash used by financing activities           (12,891)      (195,375)
                                                     ---------      ---------

Net change in cash and cash equivalents                     23           (317)

Cash and cash equivalents at beginning
   of period                                                25            325
                                                     ---------      ---------
Cash and cash equivalents at end of
   period                                            $      48      $       8
                                                     =========      =========
</TABLE>


See accompanying notes to financial statements.


                                      -3-
<PAGE>   6


                       CAPSTEAD SECURITIES CORPORATION IV
                          NOTES TO FINANCIAL STATEMENTS
                                 MARCH 31, 2000
                                   (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, 2000 are not necessarily
indicative of the results that may be expected for the calendar year ending
December 31, 2000. For further information refer to the financial statements and
footnotes thereto included in the Capstead Securities Corporation IV (the
"Company") annual report on Form 10-K for the year ended December 31, 1999.

NOTE B -- DISCLOSURES REGARDING FAIR VALUES OF FINANCIAL INSTRUMENTS

The estimated fair values of mortgage securities collateral have been determined
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, 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 estimated fair value amounts.

Fair values are 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 tables summarize fair value disclosures for mortgage securities
collateral held available-for-sale and held-to-maturity for the periods
indicated (in thousands):

<TABLE>
<CAPTION>
                                    AS OF  MARCH 31, 2000
                       -----------------------------------------------
                                     GROSS        GROSS
                                   UNREALIZED   UNREALIZED      FAIR
                         COST        GAINS        LOSSES        VALUE
                       --------    ----------   ----------    --------
<S>                    <C>         <C>          <C>           <C>
Available-for-sale     $149,050    $      --     $    393     $148,657
Held-to-maturity         30,028           --           78       29,950
                       --------     --------     --------     --------
                       $179,078     $     --     $    471     $178,607
                       ========     ========     ========     ========
</TABLE>

<TABLE>
<CAPTION>
                                   AS OF  DECEMBER 31, 1999
                       -----------------------------------------------
                                      GROSS       GROSS
                                   UNREALIZED   UNREALIZED      FAIR
                         COST         GAINS       LOSSES        VALUE
                       --------    ----------   ----------    --------
<S>                    <C>          <C>          <C>          <C>
Available-for-sale     $161,456     $  1,185     $     --     $162,641
Held-to-maturity         30,849           --           91       30,758
                       --------     --------     --------     --------
                       $192,305     $  1,185     $     91     $193,399
                       ========     ========     ========     ========
</TABLE>


                                      -4-
<PAGE>   7


The maturity of mortgage securities collateral is directly affected by the rate
of principal prepayments by mortgagors. In addition, upon redemption of
remaining bonds outstanding pursuant to clean-up calls, released collateral may
be sold provided the collateral has paid down to within 15% of its original
issue amount. Such sales are deemed maturities under the provisions of Statement
of Financial Accounting Standards No. 115.

The following tables summarize disclosures related to the disposition of
released CMO collateral held-to-maturity (in thousands):

<TABLE>
<CAPTION>
                                                          QUARTER ENDED
                                                             MARCH 31
                                                        ------------------
                                                        2000          1999
                                                        ----          ----
<S>                                                   <C>          <C>
Sale of released CMO collateral held-to-maturity:
     Amortized cost                                   $     --     $106,139
     Gains                                                  --        2,644
</TABLE>

NOTE C -- NET INTEREST INCOME ANALYSIS

The following table summarizes 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
                                ----------------------------------------------
                                       2000                      1999
                                ---------------------     --------------------
                                              AVERAGE                  AVERAGE
                                AMOUNT         RATE       AMOUNT        RATE
                                -------       -------     -------      -------
<S>                             <C>           <C>        <C>           <C>
Interest income on mortgage
   securities collateral        $ 3,379        7.36%     $ 7,402        6.58%
Interest expense on
   collateralized mortgage
   securities                     3,244        7.07        7,018        6.27
                                -------                  -------

Net interest                    $   135                  $   384
                                =======                  =======
</TABLE>

The following table summarizes the amount of change in interest income and
interest expense due to changes in effective interest rates versus changes in
volume for the quarter ended March 31, 2000 compared to the same period in 1999
(in thousands):

<TABLE>
<CAPTION>
                                           RATE*       VOLUME*       TOTAL
                                          -------      -------      -------
<S>                                       <C>          <C>          <C>
Interest income on mortgage
   securities collateral                  $   795      $(4,818)     $(4,023)
Interest expense on
   collateralized mortgage securities         799       (4,573)      (3,774)
                                          -------      -------      -------

                                          $    (4)     $  (245)     $  (249)
                                          =======      =======      =======
</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


FINANCIAL CONDITION

Capstead Securities Corporation IV (the "Company") was incorporated on August
16, 1991, as a special-purpose finance subsidiary of Capstead Mortgage
Corporation ("CMC") and commenced operations on December 23, 1991 with the
issuance of its first collateralized mortgage obligation ("CMO"), Series
1991-VIII. As of March 31, 2000, the Company had issued 19 CMOs with an
aggregate initial principal balance of $4,572,644,000, including two CMOs with
an aggregate initial principal balance of $551,537,000, which were recorded as
sales when issued in 1992.

RESULTS OF OPERATIONS

Residual investments in CMOs (represented by the difference between the carrying
value of mortgage securities collateral and collateralized mortgage securities
on the balance sheet; also referred to as "CMO Investments") recorded net
operating income of $4,000 for the quarter ended March 31, 2000, compared to
$18,000 for the same period in 1999. Operating results produced by CMO
Investments are represented by the difference between interest income on
mortgage securities collateral and interest expense and professional fees on
collateralized mortgage securities and mortgage pool insurance expense on
mortgage securities collateral.

Operating results from CMO Investments declined due primarily to a 59% decline
in the average holdings of mortgage securities collateral during the quarter
ended March 31, 2000 compared to the same period in 1999. Average holdings of
mortgage securities collateral were $184 million during the current quarter
compared to $450 million for the corresponding prior year period. The decrease
in average holdings was the result of runoff (prepayments and scheduled
payments) and the redemptions of two CMOs since March 31, 1999. The runoff rate
was 27% during the current quarter compared to 59% during the same quarter in
1999. The following table presents the weighted average yields for the periods
shown:

<TABLE>
<CAPTION>
                                     QUARTER ENDED MARCH 31
                                     ----------------------
                                        2000        1999
                                       ------      ------
<S>                                    <C>         <C>
Mortgage securities collateral           7.36%       6.58%
Collateralized mortgage securities       7.07        6.27
                                       ------      ------
Net margin                               0.29%       0.31%
                                       ======      ======
</TABLE>

Although net margins can fluctuate depending on the timing of the payoff of
collateral and bonds with differing amounts of purchase premium and bond
discounts, the tendency is for CMO net margins to decline as lower-yielding,
shorter-term CMO bonds are paid off prior to longer-term bonds with relatively
higher interest rates.

LIQUIDITY AND CAPITAL RESOURCES

The Company's primary sources of funds are the receipt of excess cash flows on
CMO Investments (primarily the excess of principal and interest earned on the
mortgage securities collateral including reinvestment proceeds over the
principal and interest payable on the CMOs), proceeds from additional CMO
issuances and occasionally proceeds from the sale of collateral released from


                                      -6-
<PAGE>   9


the related CMOs. Net income and excess cash flows from CMO Investments allowed
dividends of $1,482,000 and the return of $3,692,000 of capital during the first
quarter of 1999. There were no dividends or return of capital during the first
quarter of 2000. The Company continues to qualify as a real estate investment
trust subsidiary.

ITEM 7A. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

The Company only has one remaining non-REMIC CMO outstanding at March 31, 2000
with related mortgage securities collateral of $30.0 million that supports bonds
of $29.3 million resulting in a retained CMO residual of $680,000 (CMO Series
1993-1). The Company has exposure to interest rate risk related to this CMO
residual. If mortgage interest rates rise from current levels, mortgage
prepayments on the collateral are expected to decline allowing the Company to
earn the net interest spread and to amortize related collateral premiums and
bond discounts for a longer period of time. Conversely, if mortgage rates
decline, prepayments will likely increase and the period of time that a net
interest spread can be earned and related collateral premiums and bond discounts
can be amortized over will be shorter. If mortgage rates were to be 100 basis
points higher or lower, operating results of this residual for the subsequent 12
months can be expected to increase by $7,000 or decrease by $32,000,
respectively.

                          PART II. -- OTHER INFORMATION

ITEM 1. LEGAL PROCEEDINGS: None.

ITEM 5. OTHER INFORMATION: None.

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.


                                      -7-
<PAGE>   10


                                   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.


                                        CAPSTEAD SECURITIES CORPORATION IV



Date:  May 10, 1999              By: /s/ ANDREW F. JACOBS
                                     -------------------------------------------
                                     Andrew F. Jacobs
                                     Executive Vice President - Finance



Date:  May 10, 1999              By: /s/ PHILLIP A. REINSCH
                                     -------------------------------------------
                                     Phillip A. Reinsch
                                     Senior Vice President - Control


                                      -8-
<PAGE>   11


                                 EXHIBIT INDEX


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