<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, 1999

                                        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.)

   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)                           1,000 as of May 6, 1999

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

<PAGE>   2





                        CAPSTEAD SECURITIES CORPORATION IV
                                     FORM 10-Q
                       FOR THE QUARTER ENDED MARCH 31, 1999


                                       INDEX

<TABLE>
<CAPTION>


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

ITEM 1. Financial Statements

   Balance Sheet -- March 31, 1999 and December 31, 1998..................................................    1

   Statement of Operations -- Quarter Ended March 31, 1999 and 1998.......................................    2

   Statement of Cash Flows -- Quarter Ended March 31, 1999 and 1998.......................................    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, 1999  DECEMBER 31, 1998
                                                     --------------  -----------------
                                                      (UNAUDITED)

<S>                                                  <C>              <C>           
ASSETS
   Mortgage securities collateral                    $      338,606   $      532,805
   Cash and cash equivalents                                      8              325
   Other assets                                                 153              779
                                                     --------------   --------------

                                                     $      338,767   $      533,909
                                                     ==============   ==============

LIABILITIES
   Collateralized mortgage securities                $      333,761   $      524,321
   Accrued expenses                                              53               50
                                                     --------------   --------------

                                                            333,814          524,371
                                                     --------------   --------------

STOCKHOLDER'S EQUITY
   Common stock - $1.00 par value,
     1 shares authorized,
     issued and outstanding                                       1                1
   Paid-in capital                                            1,337            5,029
   Undistributed loss                                            --             (327)
   Accumulated other comprehensive income                     3,615            4,835
                                                     --------------   --------------

                                                              4,953            9,538
                                                     --------------   --------------

                                                     $      338,767   $      533,909
                                                     ==============   ==============
</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 
                                          ------------------------
                                             1999          1998 
                                          ----------    ----------

<S>                                       <C>           <C>       
Interest income:
   Mortgage securities collateral         $    7,402    $    9,758
   Receivable from Parent                         22             8
                                          ----------    ----------

       Total interest income                   7,424         9,766
                                          ----------    ----------

Interest expense on collateralized
   mortgage securities                         7,018         9,365
                                          ----------    ----------

         Net interest income                     406           401
                                          ----------    ----------

Other revenue:
   Gain on sale of released
     mortgage securities collateral            2,644         1,907
   Loss on redemption of collateralized
     mortgage securities                        (872)         (350)
                                          ----------    ----------

                                               1,772         1,557
                                          ----------    ----------

Other expense:
   Management fees                                 3             3
   Professional fees and other                     8            28
   Pool insurance                                358           307
                                          ----------    ----------

       Total other expense                       369           338
                                          ----------    ----------

Net income                                     1,809         1,620
                                          ----------    ----------

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

Comprehensive income                      $      589    $    1,620
                                          ==========    ==========
</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 
                                                               ----------------------------
                                                                    1999            1998 
                                                               ------------    ------------

<S>                                                            <C>             <C>         
OPERATING ACTIVITIES:
   Net income                                                  $      1,809    $      1,620
   Noncash item - amortization of
     discount and premium                                              (102)            273
   Net change in other assets and
     accrued expenses                                                   629             198
   Gain on sale of released mortgage
     securities collateral                                           (2,644)         (1,907)
   Loss on redemption of collateralized
     mortgage securities                                                872             350
                                                               ------------    ------------

       Net cash provided by operating activities                        564             534
                                                               ------------    ------------

INVESTING ACTIVITIES:
   Mortgage securities collateral:
     Principal collections on collateral                             73,634          42,178
     Decrease in accrued interest receivable                          1,274             576
     Decrease (increase) in short-term investments                   10,803          (3,209)
   Sale of released mortgage securities
     collateral                                                     108,783          37,048
                                                               ------------    ------------

       Net cash provided by investing activities                    194,494          76,593
                                                               ------------    ------------

FINANCING ACTIVITIES:
   Collateralized mortgage securities:
     Principal payments on securities                              (188,533)        (73,483)
     Decrease in accrued interest payable                            (1,668)           (776)
   Capital contributions (distributions)                             (3,692)            145
   Dividends paid                                                    (1,482)         (1,641)
                                                               ------------    ------------

       Net cash used by financing activities                       (195,375)        (75,755)
                                                               ------------    ------------

Net change in cash and cash equivalents                                (317)          1,372

Cash and cash equivalents at beginning
   of period                                                            325               8
Cash and cash equivalents at end of                            ------------    ------------
   period                                                      $          8    $      1,380
                                                               ============    ============
</TABLE>




See accompanying notes to financial statements.

                                      -3-

<PAGE>   6



                        CAPSTEAD SECURITIES CORPORATION IV
                           NOTES TO FINANCIAL STATEMENTS
                                  MARCH 31, 1999
                                    (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, 1999 are not necessarily
indicative of the results that may be expected for the calendar year ending
December 31, 1999. 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, 1998.

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

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, 1999    
                           ------------------------------------------------------
                                            GROSS         GROSS   
                                          UNREALIZED    UNREALIZED       FAIR 
                               COST         GAINS         LOSSES         VALUE  
                           ------------  ------------  ------------  ------------

<S>                        <C>           <C>           <C>           <C>         
Available-for-sale         $    250,283  $      3,615  $         --  $    253,898
Held-to-maturity                 84,708         1,337            71        85,974
                           ------------  ------------  ------------  ------------
                           $    334,991  $      4,952  $         71  $    339,872
                           ============  ============  ============  ============
</TABLE>


<TABLE>
<CAPTION>

                                           AS OF  DECEMBER 31, 1998 
                           ------------------------------------------------------
                                            GROSS         GROSS   
                                          UNREALIZED    UNREALIZED       FAIR 
                               COST         GAINS         LOSSES         VALUE 
                           ------------  ------------  ------------  ------------

<S>                        <C>           <C>           <C>           <C>         
Available-for-sale         $    300,208  $      4,835  $         --  $    305,043
Held-to-maturity                227,762         5,985            86       233,661
                           ------------  ------------  ------------  ------------
                           $    527,970  $     10,820  $         86  $    538,704
                           ============  ============  ============  ============
</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
                                                         ------------------
                                                           1999      1998
                                                         --------  --------
<S>                                                      <C>       <C>     
Sale of released CMO collateral held-to-maturity:
     Amortized cost                                      $106,139  $ 35,076
     Gains                                                  2,644     1,907
</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        
                                --------------------------------------------------
                                         1999                       1998 
                                ----------------------   -------------------------
                                              AVERAGE                     AVERAGE
                                  AMOUNT        RATE        AMOUNT         RATE 
                                ----------   ---------   ----------      ---------

<S>                             <C>          <C>         <C>               <C>  
Interest income on mortgage
   securities collateral        $    7,402        6.58%  $    9,758        8.33%
Interest expense on
   collateralized mortgage
   securities                        7,018        6.27        9,365        8.17
                                ----------               ----------

Net interest                    $      384               $      393
                                ==========               ==========
</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 (in thousands):

<TABLE>
<CAPTION>

                                              RATE*         VOLUME*         TOTAL 
                                          ------------   ------------   ------------

<S>                                       <C>            <C>            <C>          
Interest income on mortgage
   securities collateral                  $     (1,989)  $       (367)  $     (2,356)
Interest expense on
   collateralized mortgage securities           (2,127)          (220)        (2,347)
                                          ------------   ------------   ------------

                                          $        138   $       (147)  $         (9)
                                          ============   ============   ============
</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.

Interest payments on collateralized mortgage securities of $8,665,000 and
$9,924,000 were made during the quarters ended March 31, 1999 and 1998,
respectively.



                                      -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, 1999, 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 $18,000 for the quarter ended March 31, 1999, compared to
$58,000 for the same period in 1998. 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 in part to a 4% decline in
the average holdings of mortgage securities collateral during the quarter ended
March 31, 1999 compared to the same period in 1998. Average holdings of mortgage
securities collateral were $450 million during the current quarter compared to
$468 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 four CMOs during the quarter ended March 31, 1999. These
decreases were partially offset by the September 1998 issuance of a $346 million
CMO (Series 1998-III). The runoff rate was 15% during the current quarter
compared to 9% during the same quarter in 1998. The Company recorded gains of
$2,644,000 in conjunction with the redemption of the CMOs, partially offset by
the write-off of $842,000 of related bond discounts. The following table
presents the weighted average yields for the periods shown:

<TABLE>
<CAPTION>

                                              QUARTER ENDED MARCH 31
                                             -----------------------
                                                 1999         1998
                                             ----------   ----------

<S>                                         <C>          <C>  
Mortgage securities collateral                     6.58%        8.33%
Collateralized mortgage securities                 6.27         8.17
                                             ----------   ----------
Net margin                                         0.31%        0.16%
                                             ==========   ==========
</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. However, collateral yields for the quarter ended March
31, 1999 were lower than in the same period in 1998 because of the issuance in
September 1998 of CMO Series 1998-III with an effective collateral yield of
6.51% at March 31, 1998 and the sale of relatively high yielding released CMO
collateral. Similarly, CMO bond rates were lower in 1999 because of the issuance
of CMO Series 1998-III floating rate bonds with an average rate of 5.12% at
quarter-end and the redemption of relatively high rate bonds from older series
of CMOs.



                                      -6-

<PAGE>   9



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. During the first quarter of 1999, the Company redeemed the
remaining outstanding bonds of four CMOs (Series 1992-I, 1992-II, 1992-IV and
1992-XII) totaling $122,995,000 pursuant to clean-up calls, and sold the related
released collateral of $106,139,000 for a gain of $2,644,000. Net income and
excess cash flows from CMO investments have allowed dividends of $1,482,000 and
$1,641,000 during the quarter ended March 31, 1999 and 1998, respectively, and
the return of $3,692,000 of capital during the first quarter of 1999. The
Company continues to qualify as a real estate investment trust subsidiary.

IMPACT OF YEAR 2000

Many existing computer software programs use only two digits to identify the
year in date fields and, as such, could fail or create erroneous results by or
at the Year 2000. The Manager utilizes a number of software systems to
administer securitizations and otherwise manage the Company's affairs. In
addition, the Manager utilizes vendors in various capacities and interfaces with
various institutions. The Manager is exposed to the risk that its systems and
the systems of its vendors and institutions it interfaces with are not Year 2000
compliant.

     State of Readiness. The Manager has made and will continue to make
investments in its software systems and applications to ensure the Manager is
Year 2000 compliant. The Manager is also taking steps to ensure that the vendors
it utilizes and institutions that it interfaces with are also taking the
necessary steps to become Year 2000 compliant. This process is expected to be
essentially complete by the end of the second quarter of 1999.

     Costs. The financial costs of the Manager becoming Year 2000 compliant are
the responsibility of the Manager.

     Risks and Contingency Planning. Although the Manager expects that all its
systems and applications will be Year 2000 compliant per the above schedule and
well prior to December 31, 1999, there can be no assurance that all of the
vendors it utilizes and institutions that it interfaces with will complete their
compliance efforts. The Manager will continue to monitor their efforts in this
regard and will take all prudent steps necessary to ensure operations are not
disrupted including the use of other vendors or other methodologies and
processes to transact the Company's business. The effect of any disruption to
the Company's operations of any such instances of non-compliance is presently
not determinable.

                           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 6, 1999                  By: /s/ RONN K. LYTLE
                                        ---------------------------------------
                                        Ronn K. Lytle
                                        Chairman and Chief Executive Officer



Date:  May 6, 1999                  By: /s/ ANDREW F. JACOBS
                                        ---------------------------------------
                                        Andrew F. Jacobs
                                        Executive Vice President-Finance,
                                          Treasurer and Secretary




                                      -8-

<PAGE>   11

                                 EXHIBIT INDEX

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