<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:  MARCH 31, 2001

                                       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 NORTH 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 7, 2001

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

<PAGE>   2



                       CAPSTEAD SECURITIES CORPORATION IV
                                    FORM 10-Q
                      FOR THE QUARTER ENDED MARCH 31, 2001


                                      INDEX

<TABLE>
<CAPTION>

                                                                                                             PAGE
                                                                                                             ----
<S>                                                                                                          <C>
                                         PART I. -- FINANCIAL INFORMATION

ITEM 1. Financial Statements

   Balance Sheets -- March 31, 2001 and December 31, 2000.................................................    1

   Statements of Operations -- Quarter Ended March 31, 2001 and 2000......................................    2

   Statements of Cash Flows -- Quarter Ended March 31, 2001 and 2000......................................    3

   Notes to Financial Statements..........................................................................    4

ITEM 2. Management's Discussion and Analysis of
        Financial Condition and Results of Operations.....................................................    5


                                           PART II. -- OTHER INFORMATION


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

SIGNATURES................................................................................................    7

</TABLE>

<PAGE>   3

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


ITEM 1. FINANCIAL STATEMENTS

<TABLE>
<CAPTION>

                                                                      MARCH 31, 2001              DECEMBER 31, 2000
                                                                      --------------              -----------------
                                                                       (UNAUDITED)
<S>                                                                   <C>                          <C>

ASSETS
   Mortgage securities collateral                                       $138,938                        $147,119
   Cash and cash equivalents                                                  24                             120
   Other assets                                                                8                               8
                                                                        --------                        --------

                                                                        $138,970                        $147,247
                                                                        ========                        ========

LIABILITIES
   Collateralized mortgage securities                                   $138,584                        $146,086
   Accrued expenses                                                           --                              70
                                                                        --------                        --------

                                                                         138,584                         146,156
                                                                        --------                        --------

STOCKHOLDER'S EQUITY
   Common stock - $1.00 par value, 1 shares authorized,
     issued and outstanding                                                    1                               1
   Paid-in capital                                                           656                             693
   Undistributed loss                                                        (50)                            (30)
   Accumulated other comprehensive
     income (loss)                                                          (221)                            427
                                                                        --------                        --------

                                                                             386                           1,091
                                                                        --------                        --------

                                                                        $138,970                        $147,247
                                                                        ========                        ========
</TABLE>

See accompanying notes to financial statements.




                                      -1-
<PAGE>   4

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

<TABLE>
<CAPTION>

                                                                                       QUARTER ENDED MARCH 31
                                                                                   ------------------------------
                                                                                    2001                   2000
                                                                                   ------                 -------
<S>                                                                                <C>                    <C>
Interest income:
   Mortgage securities collateral                                                  $2,812                 $ 3,379
   Receivable from parent                                                               1                      --
                                                                                   ------                 -------
       Total interest income                                                        2,813                   3,379

Interest expense on collateralized
   mortgage securities                                                              2,722                   3,244
                                                                                   ------                 -------
         Net interest income                                                           91                     135
                                                                                   ------                 -------
Other operating revenue (expense):
   Management fees                                                                     (3)                     (3)
   Professional fees and other                                                        (10)                     (2)
   Pool insurance                                                                     (98)                   (129)
                                                                                   ------                 -------
       Total other operating revenue (expense)                                       (111)                   (134)
                                                                                   ------                 -------
Net income (loss)                                                                     (20)                      1
Other comprehensive loss                                                             (648)                 (1,578)
                                                                                   ------                 -------
Comprehensive loss                                                                 $ (668)                $(1,577)
                                                                                   ======                 =======
</TABLE>



See accompanying notes to financial statements.


                                      -2-
<PAGE>   5

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


<TABLE>
<CAPTION>

                                                                       QUARTER ENDED MARCH 31
                                                                  -------------------------------
                                                                    2001                   2000
                                                                  ---------             ---------
<S>                                                               <C>                   <C>
OPERATING ACTIVITIES:
   Net income                                                     $     (20)            $       1
   Noncash item - amortization of discount and premium                   27                   (40)
   Net change in other assets and accrued expenses                      (70)                    3
                                                                  ---------             ---------
       Net cash used in operating activities                            (63)                  (36)
                                                                  ---------             ---------
INVESTING ACTIVITIES:
   Mortgage securities collateral:
     Principal collections on collateral                              7,753                12,798
     Decrease in accrued interest receivable                             51                    83
     Decrease (increase) in short-term investments                     (428)                   69
                                                                  ---------             ---------
       Net cash provided by investing activities                      7,376                12,950
                                                                  ---------             ---------

FINANCING ACTIVITIES:
   Collateralized mortgage securities:
     Principal payments on securities                                (7,320)              (12,863)
     Decrease in accrued interest payable                               (52)                  (28)
   Capital distributions                                                (37)                   --
                                                                  ---------             ---------
       Net cash used in financing activities                         (7,409)              (12,891)
                                                                  ---------             ---------
Net change in cash and cash equivalents                                 (96)                   23
Cash and cash equivalents at beginning of period                        120                    25
                                                                  ---------             ---------
Cash and cash equivalents at end of period                        $      24             $      48
                                                                  =========             =========

</TABLE>


See accompanying notes to financial statements.



                                      -3-
<PAGE>   6


                       CAPSTEAD SECURITIES CORPORATION IV
                          NOTES TO FINANCIAL STATEMENTS
                                 MARCH 31, 2001
                                   (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, 2001 are not necessarily
indicative of the results that may be expected for the calendar year ending
December 31, 2001. 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, 2000.

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 summarizes 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, 2001
                           -------------------------------------------------------------
                                           GROSS             GROSS
                                         UNREALIZED        UNREALIZED             FAIR
                             COST          GAINS             LOSSES               VALUE
                           --------      ----------        ----------           --------
<S>                        <C>           <C>               <C>                  <C>
Available-for-sale         $113,437         $ --              $221              $113,216
Held-to-maturity             25,722          518                --                26,240
                           --------         ----              ----              --------
                           $139,159         $518              $221              $139,456
                           ========         ====              ====              ========
</TABLE>

<TABLE>
<CAPTION>

                                             AS OF DECEMBER 31, 2000
                           -------------------------------------------------------------
                                           GROSS             GROSS
                                         UNREALIZED        UNREALIZED             FAIR
                             COST          GAINS             LOSSES               VALUE
                           --------      ----------        ----------           --------
<S>                        <C>           <C>               <C>                  <C>
Available-for-sale         $120,008         $427              $ --              $120,435
Held-to-maturity             26,684          409                --                27,093
                           --------         ----              ----              --------
                           $146,692         $836              $ --              $147,528
                           ========         ====              ====              ========

</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. There was no CMO collateral released
during the first quarter of 2001 or 2000.

NOTE C -- NET INTEREST INCOME ANALYSIS

The following summarizes interest income and interest expense and the average
effective interest rates (dollars in thousands):

<TABLE>
<CAPTION>
                                                                                QUARTER ENDED MARCH 31
                                                               ----------------------------------------------------
                                                                       2001                           2000
                                                               ---------------------           --------------------
                                                                             AVERAGE                        AVERAGE
                                                               AMOUNT         RATE             AMOUNT        RATE
                                                               ------        -------           ------       -------
<S>                                                            <C>            <C>              <C>           <C>
Interest income on mortgage securities collateral              $2,812         7.92%            $3,379        7.36%
Interest expense on collateralized mortgage securities          2,722         7.67              3,244        7.07
                                                               ------                          ------
                                                               $   90                          $  135
                                                               ======                          ======
</TABLE>

Changes in interest income and interest expense due to changes in interest rates
versus changes in volume were as follows (in thousands):

<TABLE>
<CAPTION>
                                                                                QUARTER ENDED MARCH 31
                                                                  ----------------------------------------------
                                                                  RATE*             VOLUME*                TOTAL
                                                                  ----              ------                 -----
<S>                                                               <C>               <C>                    <C>
Interest income on mortgage securities collateral                 $242              $(809)                 $(567)
Interest expense on collateralized mortgage securities             261               (783)                  (522)
                                                                  ----              -----                  -----
                                                                  $(19)             $ (26)                 $ (45)
                                                                  ====              =====                  =====
</TABLE>


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, 2001, 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

CMO investments (represented by the difference between the carrying value of
mortgage securities collateral and collateralized mortgage securities on the
balance sheet) produced an operating loss of $18,000 for the quarter ended March
31, 2001, compared to net operating income of $4,000 for the same period in
2000. Operating results produced by CMO investments is represented by the
difference between interest income on mortgage securities collateral and
interest expense on collateralized mortgage securities, mortgage pool insurance
expense on mortgage securities collateral and professional fees. The Company has
one CMO outstanding at March 31, 2001 in which it has retained a residual
interest (CMO Series 1993-I) and one CMO outstanding in


                                      -5-
<PAGE>   8

which it has not retained a residual interest (CMO Series 1998-III). CMO Series
1993-I consists of mortgage securities collateral of $25.7 million that supports
bonds of $25.2 million resulting in a retained CMO residual of $569,000. Because
the Company did not retain any investment in CMO Series 1998-III, no economic
benefit was or will be received and thus no net income or loss was or will be
recognized related to this CMO other than amortization of unreimbursed bond
issuance costs.

The operating results of the Company are primarily based on the performance of
CMO Series 1993-I. Operating results from this residual declined due to a higher
prepayment rate during the first quarter of 2001 than during the same period in
2000, causing the related collateral premium and bond discount to be amortized
at a faster rate in 2001 than in 2000. The runoff rate for CMO Series 1993-I was
21% and 10% for the quarter ended March 31, 2001 and 2000, respectively,
resulting in a net amortization expense of $33,000 and $19,000 during the same
periods. The following presents the weighted average yields for the periods
shown:

<TABLE>
<CAPTION>

                                                                           QUARTER ENDED MARCH 31
                                                                         --------------------------
                                                                          2001                2000
                                                                         ------              ------
<S>                                                                      <C>                 <C>
     Mortgage securities collateral                                       7.92%               7.36%
     Collateralized mortgage securities                                   7.67                7.07
                                                                          ----                ----
     Net margin                                                           0.25%               0.29%
                                                                          ====                ====
</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
the related CMOs. There were no dividends or return of capital during the first
quarter of 2001. The Company continues to qualify as a real estate investment
trust subsidiary.

ITEM 7A. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

The Company has exposure to interest rate risk related to its residual in CMO
Series 1993-I. 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 $52,000 or decrease by $88,000,
respectively.

                          PART II. -- OTHER INFORMATION

ITEM 6. EXHIBITS AND 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.


                                         CAPSTEAD SECURITIES CORPORATION IV


Date:  May 7, 2001               By:   /s/ ANDREW F. JACOBS
                                       -----------------------------------------
                                       Andrew F. Jacobs
                                       Executive Vice President - Finance



Date:  May 7, 2001               By:   /s/ PHILLIP A. REINSCH
                                       -----------------------------------------
                                       Phillip A. Reinsch
                                       Senior Vice President - Control




                                       -7-