<PAGE>   1
                                    FORM 10-Q

                       SECURITIES AND EXCHANGE COMMISSION

                             Washington, D.C. 20549

                                   (Mark one)


[X]      QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
         EXCHANGE ACT OF 1934 FOR THE QUARTERLY PERIOD ENDED SEPTEMBER 30, 1999

                                       or

[ ]      TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
         EXCHANGE ACT OF 1934

                         Commission File Number: 0-20677

                           FIRSTCITY LIQUIDATING TRUST
             (Exact name of registrant as specified in its charter)

                 Texas                                    06-6414468
      (State or other jurisdiction of                   (I.R.S. Employer
       incorporation or organization)                  Identification No.)

    1001 Fannin, Suite 505, Houston, Texas                  77002
   (Address of principal executive offices)               (Zip Code)

       Registrant's telephone number, including area code: (713) 651-7841

Indicate by check mark whether the registrant (1) has filed all 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
                                       ---     ---

Indicate the number of shares outstanding of each of the issuer's classes of
common stock, as of the latest practicable date: As of September 30, 1999,
2,460,911 units of Class B Beneficial Interests and 738,273 units of Class C
Beneficial Interests were outstanding.


<PAGE>   2



PART I - FINANCIAL INFORMATION

Item 1.  Financial Statements

                  FIRSTCITY LIQUIDATING TRUST AND SUBSIDIARIES
              CONSOLIDATED STATEMENTS OF NET ASSETS IN LIQUIDATION
                             (DOLLARS IN THOUSANDS)


<TABLE>
<CAPTION>
                                                        SEPTEMBER 30,   DECEMBER 31,
                                                            1999            1998
                                                        -------------   -------------
                                                         (unaudited)
<S>                                                     <C>             <C>

             Assets, at estimated fair value
Cash and cash equivalents ...........................   $       3,398   $      13,474
Trust assets, net ...................................          32,390          44,015
                                                        -------------   -------------
       Total assets .................................          35,788          57,489
                                                        -------------   -------------

       Less liabilities at face or estimated amount
Payables and accrued liabilities ....................           1,888           2,189
                                                        -------------   -------------
       Total liabilities ............................           1,888           2,189
                                                        -------------   -------------
Commitments and contingencies .......................            --              --

               Trust net asset value attributable to:
Class "B" Certificate, 2,460,911 units outstanding ..          33,900          55,300
Class "C" Certificate, 738,273 units outstanding ....            --              --
                                                        -------------   -------------
       Total net asset value ........................   $      33,900   $      55,300
                                                        =============   =============
</TABLE>


                      CONSOLIDATED STATEMENTS OF INCOME AND
                    CHANGES IN NET ASSET VALUE IN LIQUIDATION
                             (DOLLARS IN THOUSANDS)
                                   (UNAUDITED)

<TABLE>
<CAPTION>
                                                    THREE MONTHS                 NINE MONTHS
                                                  ENDED SEPTEMBER 30,        ENDED SEPTEMBER 30,
                                               ------------------------    ------------------------
                                                 1999           1998          1999         1998
                                               ----------    ----------    ----------    ----------
<S>                                            <C>           <C>           <C>           <C>
Changes in fair value of trust assets ......   $    1,137    $    6,958    $    4,910    $   34,436
Interest income on short-term investments...           46           136           229           553
Administrative expense .....................         (661)       (1,668)       (3,160)       (5,436)
                                               ----------    ----------    ----------    ----------
       Net income ..........................          522         5,426         1,979        29,553
                                               ----------    ----------    ----------    ----------
Net asset value, beginning of period .......       38,300        69,900        55,300        91,300
Distributions on Class "B" Certificate .....       (4,922)      (17,226)      (23,379)      (62,753)
                                               ----------    ----------    ----------    ----------
Net asset value, end of period .............   $   33,900    $   58,100    $   33,900    $   58,100
                                               ==========    ==========    ==========    ==========
</TABLE>

See accompanying notes to consolidated financial statements.

                                        2

<PAGE>   3



                  FIRSTCITY LIQUIDATING TRUST AND SUBSIDIARIES
                      CONSOLIDATED STATEMENTS OF CASH FLOWS
                             (DOLLARS IN THOUSANDS)
                                   (UNAUDITED)

<TABLE>
<CAPTION>
                                                                          NINE MONTHS ENDED SEPTEMBER 30,
                                                                         --------------------------------
                                                                              1999                1998
                                                                         --------------    --------------
<S>                                                                      <C>               <C>
Cash flows from operating activities:
    Net income .......................................................   $        1,979    $       29,553
    Adjustments to reconcile net income to net cash provided
    by operating activities:
       Changes in fair value of trust assets .........................           (4,910)          (34,436)
       Collections on trust assets, net of advances ..................           16,432            69,728
       Decrease in payables and accrued liabilities ..................             (198)             (406)
                                                                         --------------    --------------
          Net cash provided by operating activities ..................           13,303            64,439
                                                                         --------------    --------------


Cash flows from financing activities:
    Distributions on Class "B" Certificate ...........................          (23,379)          (62,753)
                                                                         --------------    --------------

       Net cash used in financing activities .........................          (23,379)          (62,753)
                                                                         --------------    --------------

    Net increase (decrease) in cash and cash equivalents .............   $      (10,076)   $        1,686
    Cash and cash equivalents, beginning of period ...................           13,474             7,948
                                                                         --------------    --------------
    Cash and cash equivalents, end of period .........................   $        3,398    $        9,634
                                                                         ==============    ==============
</TABLE>

See accompanying notes to consolidated financial statements.

                                        3

<PAGE>   4



                  FIRSTCITY LIQUIDATING TRUST AND SUBSIDIARIES
                   Notes to Consolidated Financial Statements
                               September 30, 1999


(A)      Basis of Presentation

         The unaudited consolidated financial statements of FirstCity
         Liquidating Trust (the "Trust", formerly the "Debtor") reflect, in the
         opinion of management, all adjustments, consisting only of normal and
         recurring adjustments, necessary to present fairly the Trust's net
         assets in liquidation at September 30, 1999, and its changes in net
         asset value in liquidation and cash flows for the three month and nine
         month periods ended September 30, 1999 and 1998.

         Management of the Trust has made certain estimates and assumptions
         relating to the reporting of assets and liabilities and the disclosure
         of contingent assets and liabilities to prepare these consolidated
         financial statements in conformity with generally accepted accounting
         principles. Actual results could differ from those estimates.

         Certain amounts in the financial statements for prior periods have been
         reclassified to conform with current financial statement presentation.

(B)      Trust Assets

         Trust assets are comprised of the following (dollars in thousands):

<TABLE>
<CAPTION>

                                                                        September 30,      December 31,
                                                                            1999              1998
                                                                        -------------     --------------
                                                                         (unaudited)
         Estimated Gross Cash Flow by Type of Asset
<S>                                                                     <C>               <C>
         Borrowers' obligation on outstanding balance of:
            Performing loans ......................................     $       5,560     $       12,306
            Nonperforming loans ...................................               704                815
         Receivable from the FDIC .................................               --               2,000
         Real estate and other assets .............................            32,143             36,556
                                                                        -------------     --------------
             Total ................................................            38,407             51,677
                                                                        -------------     --------------

             Discount required to reflect trust assets at
                estimated fair value ..............................            (6,017)            (7,662)
                                                                        -------------     --------------

         Trust assets, net ........................................     $      32,390     $       44,015
                                                                        =============     ==============
</TABLE>


         For each asset, estimates of income, expense and net cash flow on a
         monthly basis through the expected final disposition date are prepared.
         The individual asset budget is developed based upon factors which
         include physical inspection of the asset or the collateral underlying
         the related loan, local market conditions, contractual payments or
         rents, and discussions with the relevant borrower. The Trust's
         management and the Portfolio Committee periodically reevaluate and
         revise projected monthly cash flows on an asset by asset basis. At
         September 30, 1999 and December 31, 1998, the projected monthly cash
         flows were discounted at 11% to reflect the Trust assets at estimated
         fair value. The Trust assets are highly concentrated in Texas.


                                        4

<PAGE>   5


                  FIRSTCITY LIQUIDATING TRUST AND SUBSIDIARIES
                   Notes to Consolidated Financial Statements
                                   (continued)


         In the first quarter of 1998, the Trust negotiated and received a
         settlement of approximately $22 million from its fidelity bond
         carriers. As a result of this settlement, there are no remaining claims
         of this nature.

(C)      Distribution Priorities

         The Trust is required to apply all proceeds from liquidation and
         disposition of the Trust's assets first to payment of normal operating
         expenses. Second, Trust proceeds totaling $188 million were distributed
         to FirstCity to retire the Class A Certificate in December 1997. The
         third order of distribution of Trust proceeds is payments pursuant to
         employment and bonus agreements with certain former employees of the
         Debtor. The bonus pool and executive long-term incentive plan provides
         for the payment of bonuses equal to 4.76% of additional distributions
         to Class B Certificate holders and (if any) Class C Certificate
         holders.

         Fourth, Class B Certificate holders are entitled to distributions up to
         the Pour-Over Level. The Pour-Over Level (approximately $57 million at
         September 30, 1999) is the liquidation preference on July 3, 1995 of
         the Debtor's Series B and Series E preferred stock, less the nominal
         stated value of FirstCity special preferred stock and the book value of
         FirstCity common stock issued to the Series B and Series E holders,
         plus interest at an annual rate of 6.5% from July 3, 1995. The
         Pour-Over Level is also reduced for distributions to Class B
         Certificate holders. In the first nine months of 1999, $23.4 million,
         or $9.50 per Certificate, was distributed to Class B Certificate
         holders and a $1.1 million bonus was paid to certain former employees
         of the Debtor. In 1998, $67.7 million, or $27.50 per Certificate, was
         distributed to Class B Certificate holders and a $2.6 million bonus was
         paid to certain former employees of the Debtor.

         Lastly, Class C Certificate holders receive distributions, if any,
         after any remaining payments to Class B Certificate holders up to the
         Pour-Over Level (approximately $23.07 per unit as of September 30,
         1999).

         The ultimate amounts to be distributed to the holders of the B and C
         Certificates will result from the cash flow actually realized from the
         liquidation of the non-cash Trust assets. The determination of the net
         asset value of the Trust in the accompanying consolidated statements of
         net assets in liquidation is based upon estimates of future cash flows.
         The actual cash flows and the timing of such cash flows may vary
         significantly from those estimates, thus affecting the final
         distributions to the Certificate holders.


                                        5

<PAGE>   6


                  FIRSTCITY LIQUIDATING TRUST AND SUBSIDIARIES
                   Notes to Consolidated Financial Statements
                                   (continued)


(D)      Commitments and Contingencies

         The Trust is involved in various legal proceedings in the ordinary
         course of business. In the opinion of management of the Trust, the
         resolution of such matters will not have a material adverse impact on
         the financial position, results of operations or liquidity of the
         Trust.

         In 1996 the FDIC closed the receiverships of the Debtor's banks and
         distributed the remaining surplus of those receiverships to the Trust.
         In accordance with a conveyance and indemnification agreement, the
         Trust is required, among other things, to provide indemnity to the FDIC
         against any known or unknown liabilities, obligations or actual
         expenses associated with the receiverships, in an aggregate amount up
         to $10 million until the termination of the Trust. Management of the
         Trust does not believe that, to the extent the Trust is obligated to
         pay certain claims or expenses associated with the past obligations of
         the Debtor's banks, such payments will have a material adverse impact
         on the financial position, results of operations or liquidity of the
         Trust.



                                        6

<PAGE>   7



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

         The operations of the Trust for the third quarter and first nine months
of 1999 and 1998 are summarized below (dollars in thousands):

<TABLE>
<CAPTION>
                                                                                       NINE MONTHS
                                                          THIRD QUARTER              ENDED SEPTEMBER 30,
                                                     ------------------------    ------------------------
                                                       1999          1998          1999           1998
                                                     ----------    ----------    ----------    ----------
<S>                                                  <C>           <C>           <C>           <C>
Changes in fair value of trust assets ............   $    1,137    $    6,958    $    4,910    $   34,436
Interest income on short-term investments ........           46           136           229           553
Administrative expense ...........................         (661)       (1,668)       (3,160)       (5,436)
                                                     ----------    ----------    ----------    ----------
       Net income ................................   $      522    $    5,426    $    1,979    $   29,553
                                                     ==========    ==========    ==========    ==========
</TABLE>

                THIRD QUARTER 1999 COMPARED TO THIRD QUARTER 1998

         The estimated fair value of the Trust's assets increased $1.1 million
in the third quarter of 1999 as compared to $7.0 million in the third quarter of
1998. The 1998 increase was attributable to several factors, including $5
million related to a 67% interest in a partnership which owns the First City
Tower. Other factors which contributed to the enhancement of the net asset value
of the Trust's assets in the third quarter of 1999 and 1998 include (i) the
appreciation in value of certain assets attributable to a favorable interest
rate environment and the effect of such favorable interest rates on the
marketability of real estate and (ii) the increase in the estimated market value
of the Trust's assets that naturally occurs as the remaining life of the Trust
(and concomitantly the discount factor applied in calculating net asset value)
decreases.

         Interest income on short-term investments decreased in the third
quarter of 1999 as compared to the third quarter of 1998 because less excess
funds were available.

         Administrative expense totaled $.7 million in the third quarter of 1999
as compared to $1.7 million in the third quarter of 1998. A $230,000 bonus,
based on distributions to Class B Certificate holders, was paid to certain
former employees of the Debtor in the third quarter of 1999 as compared to an
$834,000 bonus paid in 1998. Professional fees totaled $.1 million in the third
quarter of 1999 as compared to $.2 million in the third quarter of 1998.

          NINE MONTHS ENDED SEPTEMBER 30, 1999 COMPARED TO NINE MONTHS
                            ENDED SEPTEMBER 30, 1998

         The estimated fair value of the Trust's assets increased $4.9 million
in the first nine months of 1999 as compared to $34.4 million in the first nine
months of 1998. The 1998 increase was attributable to several factors, including
a settlement of approximately $22 million from the Trust's fidelity bond
carriers and $6 million related to the 67% interest discussed above. Other
factors which contributed to the enhancement of the net asset value of the
Trust's assets in the first nine months of 1999 and 1998 include (i) the
appreciation in value of certain assets attributable to a favorable interest
rate environment and the effect of such favorable interest rates on the
marketability of real estate and (ii) the increase in the estimated market value
of the Trust's assets that naturally occurs as the

                                        7

<PAGE>   8



remaining life of the Trust (and concomitantly the discount factor applied in
calculating net asset value) decreases.

         Interest income on short-term investments decreased in 1999 as compared
to 1998 because less excess funds were available.

         Administrative expense totaled $3.2 million in the first nine months of
1999 as compared to $5.4 million in the first nine months of 1998. A $1.1
million bonus, based on distributions to Class B Certificate holders, was paid
to certain former employees of the Debtor in the first nine months of 1999 as
compared to a $2.3 million bonus paid in 1998. Professional fees totaled $.5
million in the first nine months of 1999 as compared to $.9 million in the first
nine months of 1998.

         In the first nine months of 1999, the Trust distributed $23.4 million,
or $9.50 per Certificate, to Class B Certificate holders. This distribution was
made possible principally by $16.4 million in net collections on Trust assets in
1999 and cash held at December 31, 1998. The Class B Beneficial Interests were
valued at $33.9 million at September 30, 1999.

         Non-cash trust assets at September 30, 1999 and December 31, 1998 were
comprised of the following (dollars in thousands):

<TABLE>
<CAPTION>

                                                                  September 30,    December 31,
                                                                      1999             1998
                                                                  -------------    ------------
     <S>                                                          <C>             <C>
     Estimated Gross Cash Flow by Type of Asset

     Borrowers' obligation on outstanding balance of:
         Performing loans .....................................   $      5,560    $     12,306
         Nonperforming loans ..................................            704             815
     Receivable from the FDIC .................................           --             2,000
     Real estate and other assets .............................         32,143          36,556
                                                                  ------------    ------------
         Total ................................................         38,407          51,677
                                                                  ------------    ------------
         Discount required to reflect trust assets at
              estimated fair value ............................         (6,017)         (7,662)
                                                                  ------------    ------------
     Trust assets, net ........................................   $     32,390    $     44,015
                                                                  ============    ============
</TABLE>

         For each asset, estimates of income, expense and net cash flow on a
monthly basis through the expected final disposition date are prepared by
management of the Trust. The individual asset budget is developed based upon
factors which include physical inspection of the asset or the collateral
underlying the related loan, local market conditions, contractual payments or
rents, and discussions with the relevant borrower. The Trust's management
periodically reevaluates and revises its projected monthly cash flows on an
asset by asset basis. At September 30, 1999 and December 31, 1998, the projected
monthly cash flows were discounted at 11% to reflect the Trust assets at
estimated fair value.

         The September 30, 1999 statement of net assets in liquidation reflects
a value of $27.5 million for a 67% interest in a partnership which owns the
First City Tower. The First City Tower is a Class A office building located in
downtown Houston. The $27.5 million valuation reflects significant discounts
against the asset because of litigation (possible appeal of summary judgment
rendered in favor of the Trust) on the building, and because it is only a 67%
interest. Using the current valuation

                                        8

<PAGE>   9



of the Trust, the interest in the First City Tower would have to be sold for an
amount in excess of approximately $50 million for the Class C Certificate
holders to realize any value. With the recent run-up in values for Houston
downtown office buildings, and assuming the summary judgment is upheld and the
sales price is not drastically discounted because the Trust's interest is only
67%, it is possible that the Class C Certificates could have value at some point
in the future. Investors are advised, however, that the Class C Certificates are
highly speculative securities.

         In June 1999 the United States Bankruptcy Court for the Northern
District of Texas, Dallas Division, extended the life of the Trust from January
3, 2000 to January 3, 2002. The extension allows the Trust more time to settle
some ongoing litigation and indemnity issues as well as to bring additional
value to certain assets as a result of holding such assets for a longer period
of time.

         In the first quarter of 1998, the Trust negotiated and received a
settlement of approximately $22 million from its fidelity bond carriers. As a
result of this settlement, there are no remaining claims of this nature.

YEAR 2000 COMPLIANCE

         The Trust is aware of the potential issues related to the Year 2000.
Management has evaluated the potential impact this issue could have on its
computer systems and believes that its current systems will not be impacted by
the Year 2000 or that the systems can be readily upgraded or replaced with
minimal cost to the Trust. Management will continue to monitor the status of its
systems related to the Year 2000.



                                        9

<PAGE>   10



PART II - OTHER INFORMATION

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

         (a) Exhibits

         Exhibit
           No.                        Description
         -------                      -----------

         2.1(1)   Joint Plan of Reorganization for First City Bancorporation of
                  Texas, Inc., as modified, under Chapter 11 of the United
                  States Bankruptcy Code, as confirmed by the U.S. Bankruptcy
                  Court for the Northern District of Texas, Dallas Division,
                  on May 31, 1995.

         2.2(5)   Order Extending Term of FirstCity Liquidating Trust, dated
                  June 18, 1999.

         3.1(1)   The Liquidating Trust Agreement, dated as of July 3, 1995,
                  by and between First City Bancorporation of Texas, Inc. and
                  Shawmut Bank Connecticut, National Association (subsequently
                  Fleet National Bank, now State Street Bank and Trust Company),
                  as Trustee.

         10.1(3)  Employment Agreement, effective as of July 3, 1995, by and
                  between FCLT Loans Asset Corp. and Robert W. Brown, as amended
                  May 1, 1996.

         10.2(2)  Settlement Agreement, dated as of June 22, 1994, as amended as
                  of January 30, 1995, by and among FDIC-Corporate, the
                  FDIC-Receivers and the First City Parties.

         10.3(3)  Conveyance and Indemnification Agreement, dated December 23,
                  1996, between FDIC-Corporate, the FDIC-Receivers, FCLT Loans,
                  L.P. and the Trust.

         10.4(4)  Extension of Conveyance and Indemnification Agreement, dated
                  in April 1999, between FDIC-Corporate, the FDIC-Receivers,
                  FCLT Loans, L.P. and the Trust.

         27.1     Financial Data Schedule.

-----------

         (1) Filed as the exhibit indicated to the Registration Statement on
         Form 10 filed with the Securities and Exchange Commission on May 1,
         1996 and incorporated herein by reference.

         (2) Filed as the exhibit indicated to the Registration Statement on
         Form 10/A filed with the Securities and Exchange Commission on July 10,
         1996 and incorporated herein by reference.

         (3) Filed as the exhibit indicated to the Form 10-K for the fiscal
         year ended December 31, 1996 filed with the Securities and Exchange
         Commission and incorporated herein by reference.

         (4) Filed as the exhibit indicated to the Form 10-Q for the quarter
         ended March 31, 1999 filed with the Securities and Exchange Commission
         and incorporated herein by reference.

         (5) Filed as the exhibit indicated to the Form 10-Q for the
         quarter ended June 30, 1999 filed with the Securities and Exchange
         Commission and incorporated herein by reference.

         (b) Reports on Form 8-K. No report on Form 8-K was filed by the
         Registrant with the Commission during the quarterly period ended
         September 30, 1999.


                                       10

<PAGE>   11


                                   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.


                                                STATE STREET BANK AND TRUST
                                                COMPANY, as Trustee



Date:  October 29, 1999                         /s/ Susan T. Keller
                                                -------------------------------
                                                Name: Susan T. Keller
                                                      -------------------------
                                                Title: Vice President
                                                       ------------------------




<PAGE>   12


                               INDEX TO EXHIBITS

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