<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 SEPTEMBER 30, 1996
(  ) Transition report pursuant to Section 13 or 15(d) of the Securities
     Exchange Act of 1934
                               __________________

                       Commission File Number 33-97014-01




                       FIRST INDUSTRIAL SECURITIES, L.P.
             (Exact name of registrant as specified in its charter)


                      DELAWARE                   36-4036965
              (State or other jurisdiction of  (I.R.S. Employer
              incorporation or organization)   Identification No.)


            150 N. WACKER DRIVE, SUITE 150, CHICAGO, ILLINOIS 60606
                    (Address of principal executive offices)


                                 (312) 704-9000
              (Registrant's telephone number, including area code)



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, and (2) has been subject to such filing
requirements for the past 90 days.    Yes    /X/     No .
                                          ---------


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                       FIRST INDUSTRIAL SECURITIES, L.P.
                                   FORM 10-Q
                    FOR THE PERIOD ENDED SEPTEMBER 30, 1996

                                     INDEX


<TABLE>
<CAPTION>

PART I:   FINANCIAL INFORMATION                                                               PAGE
                                                                                              ----
<S>                                                                                           <C>       
      Item 1.   Financial Statements


      Balance Sheets of First Industrial Securities, L.P. as of September 30, 1996 and               
      December 31, 1995...............................................................          2      
                                                                                                     
      Statement of Operations of First Industrial Securities, L.P. for the Nine Months               
      Ended September 30, 1996 and Combined Statement of Operations of the                           
      Predecessor Businesses for the Nine Months Ended September 30, 1995.............          3      
                                                                                                     
      Statement of Operations of First Industrial Securities, L.P. for the Three Months              
      Ended September 30, 1996 and Combined Statement of Operations of the                           
      Predecessor Businesses for the Three Months Ended September 30, 1995............          4      
                                                                                                     
      Statement of Cash Flows of First Industrial Securities, L.P. for the Nine Months               
      Ended September 30, 1996 and Combined Statement of Cash Flows of the                           
      Predecessor Businesses for the Nine Months Ended September 30, 1995.............          5      
                                                                                                     
      Notes to Financial Statements...................................................          6      
                                                                                                     
                                                                                                     
      Item 2.  Management's Discussion and Analysis of Financial Condition and                       
               Results of Operations..................................................          7-8    
                                                                                          
                                                                                          
PART II:   OTHER INFORMATION                                                              
                                                                                          
     Item 1.  Legal Proceedings.......................................................          9
     Item 2.  Changes in Securities...................................................          9
     Item 3.  Defaults Upon Senior Securities.........................................          9
     Item 4.  Submission of Matters to a Vote of Security Holders.....................          9
     Item 5.  Other Information.......................................................          9
     Item 6.  Exhibits and Reports on Form 8-K........................................          9
                                                                                          
SIGNATURE.............................................................................          10
                                                                                          
EXHIBIT INDEX.........................................................................          11

</TABLE>

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                         PART I.  FINANCIAL INFORMATION
                         ------------------------------
                         ITEM 1.  FINANCIAL STATEMENTS

                       FIRST INDUSTRIAL SECURITIES, L.P.
                                 BALANCE SHEETS
                                 (IN THOUSANDS)
                                  (UNAUDITED)







<TABLE>
<CAPTION>
                                                                       September 30,  December 31,
                                                                           1996           1995
                                              ASSETS                   -------------  ------------
<S>                                                                     <C>           <C>
Assets:
 Investment in Real Estate:
   Land..........................................................       $    11,626    $  11,626
   Buildings and Improvements....................................            64,503       63,693
   Less:  Accumulated Depreciation...............................            (3,249)      (1,981)
                                                                       -------------  ------------
         Net Investment in Real Estate...........................            72,880       73,338

 Cash and Cash Equivalents.......................................             1,642        1,112
 Restricted Cash.................................................               411          414
 Tenant Accounts Receivable, Net.................................               334          163
 Deferred Rent Receivable........................................               611          426
 Prepaid Expenses and Other Assets, Net..........................               449          425
                                                                       -------------  ------------
        Total Assets.............................................       $    76,327    $  75,878
                                                                       =============  ============

                               LIABILITIES AND PARTNERS' CAPITAL

Liabilities:
 Accounts Payable and Accrued Expenses...........................               691          677
 Rents Received in Advance and Security Deposits.................               526          433
                                                                       -------------  ------------
        Total Liabilities........................................             1,217        1,110
                                                                       -------------  ------------
Commitments and Contingencies....................................               ---          ---

Partners' Capital:
 Partners' Capital...............................................            75,110       74,768
                                                                       -------------  ------------
        Total Liabilities and Partners' Capital..................       $    76,327    $  75,878
                                                                       =============  ============
</TABLE>

    The accompanying notes are an integral part of the financial statements.

                                       2


<PAGE>   4


           FIRST INDUSTRIAL SECURITIES, L.P. STATEMENT OF OPERATIONS
                           AND PREDECESSOR BUSINESSES
                        COMBINED STATEMENT OF OPERATIONS
                                 (IN THOUSANDS)
                                  (UNAUDITED)

<TABLE>
<CAPTION>
                                                  First Industrial         Predecessor           
                                                  Securities, L.P.          Businesses           
                                                 ------------------    -------------------       
                                                        Nine                  Nine               
                                                    Months Ended          Months Ended           
                                                    September 30,         September 30,          
                                                        1996                  1995               
                                                 ------------------    -------------------       
<S>                                              <C>                 <C>                       
Revenues:                                                                                        
  Rental Income...............................       $  6,467              $  5,417              
  Tenant Recoveries and Other Income..........          2,156                 1,438              
                                                 ------------------    -------------------       
        Total Revenues........................          8,623                 6,855              
                                                 ------------------    -------------------       
                                                                                                 
Expenses:                                                                                        
  Real Estate Taxes...........................          1,720                 1,243              
  Repairs and Maintenance.....................            305                   152              
  Property Management.........................            256                   195              
  Utilities...................................             76                    58              
  Insurance...................................             69                    66              
  Other.......................................             88                    30              
  Interest Expense............................            ---                 1,957              
  Depreciation and Amortization...............          1,320                 1,013              
                                                 ------------------    -------------------       
        Total Expenses........................          3,834                 4,714              
                                                 ------------------    -------------------       
                                                                                                 
Net Income....................................       $  4,789              $  2,141              
                                                 ==================    ===================       
</TABLE>

    The accompanying notes are an integral part of the financial statements.

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<PAGE>   5

           FIRST INDUSTRIAL SECURITIES, L.P. STATEMENT OF OPERATIONS
                           AND PREDECESSOR BUSINESSES
                        COMBINED STATEMENT OF OPERATIONS
                                 (IN THOUSANDS)
                                  (UNAUDITED)

<TABLE>
<CAPTION>
                                                     First Industrial       Predecessor
                                                     Securities, L.P.        Businesses
                                                     ----------------     ---------------
                                                          Three                Three
                                                       Months Ended         Months Ended
                                                      September 30,        September 30,
                                                           1996                 1995
                                                     ----------------     ---------------
<S>                                                  <C>                  <C>
Revenues:
  Rental Income...............................       $      2,071         $    2,189
  Tenant Recoveries and Other Income..........                805                550
                                                     ----------------     ---------------
        Total Revenues........................              2,876              2,739
                                                     ----------------     ---------------

Expenses:
  Real Estate Taxes...........................                782                448
  Repairs and Maintenance.....................                 85                 59
  Property Management.........................                 91                 70
  Utilities...................................                 21                 36
  Insurance...................................                 20                 25
  Other.......................................                 60                 10
  Interest Expense............................                ---                744
  Depreciation and Amortization...............                442                389
                                                     ----------------     ---------------
        Total Expenses........................              1,501              1,781
                                                     ----------------     ---------------

Net Income....................................       $      1,375         $      958
                                                     ================     ===============
</TABLE>

    The accompanying notes are an integral part of the financial statements.

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<PAGE>   6

           FIRST INDUSTRIAL SECURITIES, L.P. STATEMENT OF CASH FLOWS
                           AND PREDECESSOR BUSINESSES
                        COMBINED STATEMENT OF CASH FLOWS
                                 (IN THOUSANDS)
                                  (UNAUDITED)


<TABLE>
<CAPTION>
                                                                          First Industrial       Predecessor
                                                                          Securities, L.P.        Businesses
                                                                          ----------------     ---------------
                                                                                Nine                 Nine
                                                                            Months Ended         Months Ended
                                                                           September 30,        September 30,
                                                                                1996                 1995
                                                                          ----------------     ---------------
<S>                                                                       <C>                  <C>      
CASH FLOWS FROM OPERATING ACTIVITIES:
 Net Income.....................................................          $       4,789        $     2,141
 Adjustments to Reconcile Net Income to Net Cash Provided
 by Operating Activities:
  Depreciation and Amortization.................................                  1,320              1,013
  Provision for Bad Debts.......................................                     50                ---
  (Increase) in Tenant Accounts Receivable, Deferred
   Rent Receivable and Prepaid Expenses and Other Assets........                   (482)              (758)
  Increase (Decrease) in Total Liabilities......................                    107               (108)
                                                                          ----------------     ---------------
        Net Cash Provided by Operating Activities...............                  5,784              2,288
                                                                          ----------------     ---------------

CASH FLOWS FROM INVESTING ACTIVITIES:
 Purchase of and Additions to Investment in Real Estate.........                   (810)           (22,724)
 Decrease in Restricted Cash....................................                      3                ---
                                                                          ----------------     ---------------
        Net Cash Used in Investing Activities...................                   (807)           (22,724)
                                                                          ----------------     ---------------

CASH FLOWS FROM FINANCING ACTIVITIES:
 Proceeds from Acquisition Facility Payable.....................                    ---             12,523
 Capital Contributions..........................................                    ---              8,037
 Dividends/Distributions........................................                 (4,447)              (124)
                                                                          ----------------     ---------------
        Net Cash (Used In) Provided by Financing Activities.....                 (4,447)            20,436
                                                                          ----------------     ---------------

Net Increase in Cash and Cash Equivalents.......................                    530                ---
Cash and Cash Equivalents, Beginning of Period..................                  1,112                ---
                                                                          ----------------     ---------------
Cash and Cash Equivalents, End of Period........................          $       1,642        $       ---
                                                                          ================     ===============

Supplemental Cash Flow Information:
 Cash Paid for Interest.........................................          $           0        $     1,957
                                                                          ================     ===============
 Interest Capitalized...........................................          $           0        $       114
                                                                          ================     ===============
</TABLE>

    The accompanying notes are an integral part of the financial statements.

                                       5


<PAGE>   7


          FIRST INDUSTRIAL SECURITIES, L.P. AND PREDECESSOR BUSINESSES
                         NOTES TO FINANCIAL STATEMENTS
                             (DOLLARS IN THOUSANDS)


1.   ORGANIZATION

     First Industrial Securities, L.P. (the "Company") is a Delaware limited
partnership formed on August 14, 1995, the 1% general partner of which is First
Industrial Securities Corporation ("Securities Corporation"), a wholly owned
subsidiary of First Industrial Realty Trust, Inc. ("FI"), and the 99% limited
partner of which is First Industrial, L.P. ("the "Operating Partnership"), of
which FI is the sole general partner.  Securities Corporation also owns a
preferred limited partnership interest in the Company.

2.   SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

     The accompanying interim financial statements have been prepared in
accordance with the accounting policies described in the financial statements
and related notes included in the Company's Annual Report on Form 10-K for the
fiscal year ended December 31, 1995.  There are no significant differences
between the Company's interim and annual accounting policies.

     In the opinion of management, all adjustments, consisting only of normal
recurring adjustments, necessary to present fairly the financial position of
the Company as of September 30, 1996 and the results of operations and cash
flows of the Company for the nine months and three months ended September 30,
1996 and the results of operations and cash flows of the properties contributed
to the Company by affiliates for the nine months and three months ended
September 30, 1995 have been included.

3.   RELATED PARTY TRANSACTIONS

     The 19 properties owned by the Company are managed by the Operating
Partnership.  Management fees incurred are based on 3.25% of gross revenues.
Such fees totaled $256 for the nine months ended September 30, 1996.  At
September 30, 1996 and December 31, 1995, $0 and $36 of accrued management fees
were due to the Operating Partnership.

4.   DISTRIBUTIONS

     On January 18, 1996, the Company paid a pro rata general and limited
partnership distribution to Securities Corporation and the Operating
Partnership, respectively, in the aggregate amount of $707.

     On March 26, 1996, the Company distributed $980 to Securities Corporation
in respect of its preferred limited partnership interest in the Company, and
Securities Corporation paid a preferred stock dividend of $980 to FI, in each
case, the amount equal to the aggregate dividend payable on FI's Series A
Preferred Stock.

     On June 24, 1996, the Company distributed $980 to Securities Corporation
in respect of its preferred limited partnership interest in the Company, and
Securities Corporation paid a preferred stock dividend of $980 to FI, in each
case, the amount equal to the aggregate dividend payable on FI's Series A
Preferred Stock.

     On August 27, 1996, the Company paid a pro rata general and limited
partnership distribution to Securities Corporation and the Operating
Partnership, respectively, in the aggregate amount of $800.

     On September 23, 1996, the Company distributed $980 to Securities
Corporation in respect of its preferred limited partnership interest in the
Company, and Securities Corporation paid a preferred stock dividend of $980 to
FI, in each case, the amount equal to the aggregate dividend payable on FI's
Series A Preferred Stock.

                                       6


<PAGE>   8


          FIRST INDUSTRIAL SECURITIES, L.P. AND PREDECESSOR BUSINESSES
                ITEM 2.  MANAGEMENT'S DISCUSSION AND ANALYSIS OF
                 FINANCIAL CONDITION AND RESULTS OF OPERATIONS


     The following discussion and analysis of First Industrial Securities,
L.P.'s (the "Company")  financial condition and the Company's and the
Predecessor Businesses' results of operations should be read in conjunction
with the financial statements and notes thereto appearing elsewhere in this
Form 10-Q.


RESULTS OF OPERATIONS

COMPARISON OF NINE MONTHS ENDED SEPTEMBER 30, 1996 TO NINE MONTHS ENDED
SEPTEMBER 30, 1995

     At September 30, 1996 and 1995, the Company and the Predecessor Businesses
owned 19 properties with approximately 2.1 million square feet.

     Total revenues increased by $1.8 million, or 26%, due primarily to the
properties acquired or developed after December 31, 1994.

     Property expenses, which include real estate taxes, repairs and
maintenance, property management, utilities, insurance and other expenses,
increased by $.8 million, or 44%, due primarily to the properties acquired or
developed after December 31, 1994.

     Interest expense decreased from $2.0 million in 1995 to $0 in 1996 because
the Company has had no outstanding indebtedness since the contribution of the
properties to the Company in late 1995.

     Depreciation and amortization expense increased by $.3 million due
primarily to the additional depreciation and amortization related to the
properties acquired or developed after December 31, 1994.


COMPARISON OF THREE MONTHS ENDED SEPTEMBER 30, 1996 TO THREE MONTHS ENDED
SEPTEMBER 30, 1995

     Total revenues increased by $.1 million, or 5%, due primarily to the
properties acquired or developed after June 30, 1995.

     Property expenses, which include real estate taxes, repairs and
maintenance, property management, utilities, insurance and other expenses,
increased by $.4 million, or 63%, due primarily to the properties acquired or
developed after June 30, 1995.

     Interest expense decreased from $.7 million in 1995 to $0 in 1996 because
the Company has had no outstanding indebtedness since the contribution of the
properties to the Company in late 1995.

     Depreciation and amortization expense increased by $.1 million due
primarily to the additional depreciation and amortization related to the
properties acquired or developed after June 30, 1995.





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<PAGE>   9




LIQUIDITY AND CAPITAL RESOURCES

     Upon and subsequent to the consummation of First Industrial Realty Trust,
Inc.'s ("FI") Series A Preferred Stock Offering and the Company's guarantee of
certain amounts in respect thereof, the Company had no outstanding
indebtedness.

     Net cash provided by operating activities, used in investing activities
and used in financing activities for the Company for the nine months ended
September 30, 1996 were $5.8 million, ($.8) million, and ($4.4) million,
respectively.  Net cash used in investing activities during the nine months
ended September 30, 1996 was used principally for capital improvements of the
Company's properties.  Net cash used in financing activities during the nine
months ended September 30, 1996 consisted of preferred limited partner
distributions of $2.9 million and a general and limited partner distribution of
$1.5 million.  Net cash provided by operating activities, used in investing
activities and provided by financing activities for the Predecessor Businesses
for the nine months ended September 30, 1995 were $2.3 million, ($22.7) million
and $20.4 million, respectively.  Net cash used in investing activities during
the nine months ended September 30, 1995 was used principally in connection
with the acquisition and development of additional properties.  Net cash
provided by financing activities during the nine months ended September 30,
1995 was provided principally by borrowings under an acquisition facility and
capital contributions.

     The Company has considered its short-term liquidity requirements and the
adequacy of its estimated cash flows from operations.  The Company believes
that its liquidity needs are to fund normal recurring expenses, and pay the
preferred limited partnership distribution and other partnership distributions.
The Company anticipates that these needs will be met with cash flows provided
by operating activities.

     The Company expects to fund its long-term liquidity requirements for
non-recurring capital improvements with its cash flows from operations and in
part with a deferred maintenance escrow established in connection with the
issuance of FI's Series A Preferred Stock.




                                       8


<PAGE>   10


                          PART II.  OTHER INFORMATION


ITEM 1.   LEGAL PROCEEDINGS
     None.

ITEM 2.   CHANGES IN SECURITIES
     None.


ITEM 3.   DEFAULTS UPON SENIOR SECURITIES
     None.


ITEM 4.   SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
     Not applicable.


ITEM 5.   OTHER INFORMATION
     Not applicable.


ITEM 6.   EXHIBITS AND REPORTS ON FORM 8-K

     Exhibit No.    Description
     -----------    -----------------------
        27          Financial Data Schedule


                                       9


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                                   SIGNATURE


     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.




                              FIRST INDUSTRIAL SECURITIES, L.P.,
                              BY: FIRST INDUSTRIAL SECURITIES CORPORATION,
                                  ITS SOLE GENERAL PARTNER


Date:  November 12, 1996      By:    /s/ Michael J. Havala     
                              -----------------------------------------
                                  Michael J. Havala
                                  Chief Financial Officer
                                  (Principal Financial and Accounting Officer)












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<PAGE>   12


                                 EXHIBIT INDEX



Exhibit No.       Description
-----------       -----------------------
 EX-27            Financial Data Schedule



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