<PAGE>   1



                                        FORM 10-Q 

                            SECURITIES AND EXCHANGE COMMISSION 

                                 WASHINGTON, D.C.  20549 

[X] QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE 
    ACT OF 1934 
For the quarterly period ended..................................March 31, 1997

                                            OR 

[ ] TRANSITION REPORT PURSUANT TO SECTION 13 0R 15(d) OF THE SECURITIES 
    EXCHANGE ACT OF 1934

For the transition quarter from........................to.......................


Commission file number..................................................0-18046 


                                FIRST FEDERAL CAPITAL CORP
                  ------------------------------------------------------
                  (Exact name of Registrant as specified in its charter) 


                Wisconsin                                   39-1651288 
   ---------------------------------                ------------------------
     (State or other jurisdiction of                      (IRS Employer 
     incorporation or organization)                     Identification No.) 


             605 State Street 
           La Crosse, Wisconsin                              54601  
   ---------------------------------------          -------------------------
   (Address of principal executive office)                (Zip code) 


                       605 State Street, La Crosse, Wisconsin 54601    
                    ---------------------------------------------------
                    (Address of principal executive office) (Zip code) 


                                      (608) 784-8000                    
                    ---------------------------------------------------
                   (Registrant's Telephone Number, including area code) 


                                      Not applicable                    
                 ------------------------------------------------------
                  (Former name, former address, and former fiscal year,
                                if changed since last report) 


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 quarter 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. 

Class: Common Stock--$.10 Par Value Outstanding at May 1, 1997: 6,084,044 
                                                                ---------




<PAGE>   2






                  FIRST FEDERAL CAPITAL CORP AND SUBSIDIARIES 
                 Consolidated Statements of Financial Condition 
                      March 31, 1997, and December 31, 1996 

<TABLE>
<CAPTION>

                                                   March 31      December 31
                                                     1997           1996
   ASSETS                                         (Unaudited)
   <S>                                           <C>            <C>

   Cash and due from banks                         $26,262,826    $24,644,254
   Interest-bearing deposits                         6,960,969      2,456,901
   Investment securities available for sale, 
     at fair value                                  67,372,983     74,029,474
   Mortgage-backed and related securities: 
     Available for sale, at fair value              58,132,090     61,875,130
     Held for investment, at cost (fair 
       value of $139,106,321 and $145,217,199, 
       respectively)                               143,293,817    147,834,733
   Loans held for sale                              19,843,780     20,338,790
   Loans held for investment, net                1,128,530,452  1,106,039,995
   Federal Home Loan Bank stock                     19,653,500     18,823,200
   Accrued interest receivable, net                 12,189,642     11,487,427
   Office properties and equipment                  25,444,561     26,210,947
   Mortgage servicing rights, net                   12,287,969     11,887,202
   Intangible assets                                 6,106,711      5,221,245
   Other assets                                      4,157,526      4,564,171
                                                -------------- --------------
     Total assets                               $1,530,236,826 $1,515,413,469
                                                ============== ==============
   LIABILITIES AND STOCKHOLDERS' EQUITY 

   Deposit liabilities                          $1,053,723,242 $1,024,092,887
   Federal Home Loan Bank advances and 
     other borrowings                              365,148,297    383,592,983
   Advance payments by borrowers for taxes 
     and insurance                                   5,101,750      3,912,206
   Accrued interest payable                          2,522,933      2,432,796
   Other liabilities                                 6,482,153      5,968,239
                                                -------------- --------------
     Total liabilities                           1,432,978,375  1,419,999,111
                                                -------------- --------------
   Preferred stock, $.10 par value, 5,000,000 
     shares authorized, none outstanding               -              -
   Common stock, $.10 par value, 20,000,000 
     shares authorized, 6,644,344 and 6,639,326 
     shares issued and outstanding, including 
     555,300 and 512,300 shares of treasury 
     stock, respectively                               664,434        663,933
   Additional paid-in capital                       35,795,202     35,580,114
   Unearned restricted stock                          (321,049)      (414,392)
   Securities valuation allowance, net              (2,487,404)    (2,450,764)
   Retained earnings                                75,347,331     72,569,092
   Treasury stock, at cost                         (11,740,063)   (10,533,625)
                                                -------------- --------------
   Total stockholders' equity                       97,258,451     95,414,358
                                                -------------- --------------
     Total liabilities and stockholders' equity $1,530,236,826 $1,515,413,469
                                                ============== ==============
</TABLE>

   See accompanying notes to consolidated financial statements. 


                                       1 



<PAGE>   3





                   FIRST FEDERAL CAPITAL CORP AND SUBSIDIARIES 
                     Consolidated Statements of Operations 
                   Three Months Ended March 31, 1997 and 1996 

<TABLE>
<CAPTION>

                                                     Three Months Ended
                                                          March 31
                                                  --------------------------- 
                                                     1997           1996
                                                  (Unaudited)    (Unaudited)


   <S>                                             <C>            <C>
   Interest on loans                               $23,301,502    $20,007,859
   Interest on mortgage-backed and related 
     securities                                      3,214,940      3,872,652
   Interest and dividends on investments             1,439,878      1,462,369
                                                   -----------    -----------
     Total interest income                          27,956,320     25,342,880
                                                   -----------    -----------
   Interest on deposit liabilities                  11,978,361     11,455,934
   Interest on advances and other borrowings         5,172,125      4,332,650
                                                   -----------    -----------
     Total interest expense                         17,150,486     15,788,584
                                                   -----------    -----------
     Net interest income                            10,805,834      9,554,296
   Provision for loan losses                           120,840        -
                                                   -----------    -----------
     Net interest income after provision 
       for loan losses                              10,684,994      9,554,296
                                                   -----------    -----------
   Retail banking fees and service charges           2,806,212      2,303,555
   Commissions on annuity and insurance sales          615,870        489,213
   Loan servicing fees                                 578,764        204,575
   Gain on sales of loans                              789,030      1,546,541
   Loss on sales of investments                        (54,555)       (53,729)
   Other income                                        417,392        344,478
                                                   -----------    -----------
     Total non-interest income                       5,152,713      4,834,633
                                                   -----------    -----------
   Compensation and employee benefits                5,150,388      4,806,325
   Occupancy and equipment                           1,817,690      1,677,074
   Advertising and marketing                           485,614        266,508
   Federal deposit insurance premiums                  162,094        562,004
   Other expenses                                    2,096,709      2,175,527
                                                   -----------    -----------
     Total non-interest expense                      9,712,495      9,487,438
                                                   -----------    -----------
     Income before income taxes                      6,125,212      4,901,491
   Income tax expense                                2,367,446      1,832,166
                                                   -----------    -----------
     Net income                                     $3,757,766     $3,069,325
                                                   ===========    ===========

   Primary earnings per share                            $0.57          $0.45
   Fully-diluted earnings per share                       0.57           0.45
   Dividends paid per share                               0.16           0.14

   </TABLE>

   See accompanying notes to consolidated financial statements. 




                                       2 


<PAGE>   4




                     FIRST FEDERAL CAPITAL CORP AND SUBSIDIARIES 
                        Consolidated Statements of Cash Flows 
                      Three Months Ended March 31, 1997 and 1996 

<TABLE>
<CAPTION>

                                                     Three Months Ended
                                                          March 31
                                                -----------------------------
                                                     1997           1996
                                                  (Unaudited)    (Unaudited)

   <S>                                            <C>            <C>
   Cash flows from operating activities: 
     Net income                                     $3,757,766     $3,069,326
     Adjustments to reconcile net income to net 
       cash provided (used) by operations: 
       Provision for loan and real estate losses       119,394         (6,037)
       Net loan fees (costs) deferred                 (203,883)        37,225
       Depreciation and amortization                 1,582,313      1,867,167
       Net gains on sales of loans and other 
          investments                                 (734,475)    (1,492,812)
       Increase in accrued interest receivable        (702,215)      (293,637)
       Increase in accrued interest payable             90,137         14,155
       Increase in current and deferred  
          income taxes                               1,971,946      1,789,214
       Other, net                                     (433,020)      (526,102)
                                                   -----------    -----------
         Net cash provided by operations before 
           loan originations and sales               5,447,963      4,458,499
                                                   -----------    -----------
       Loans originated for sale                   (43,757,834)   (89,882,113)
       Sales of loans originated for sale           46,438,529     79,141,375
                                                   -----------    -----------
         Net cash provided (used) by operations      8,128,658     (6,282,239)
                                                   -----------    -----------
   Cash flows from investing activities: 
     Increase in interest-bearing deposits          (4,504,068)    (4,762,282)
     Purchases of investment securities                -           (5,059,299)
     Sales of investment securities                  3,001,571      3,009,139
     Maturities of investment securities             3,488,882      9,162,749
     Mortgage-backed and related securities 
       principal repayments                          8,153,549      9,240,890
     Loans originated for investment               (90,261,919)   (77,532,634)
     Loan principal repayments                      65,101,850     78,420,393
     Sales of loans originated for investment          152,740      7,366,264
     Additions to office properties and 
       equipment                                      (912,777)      (188,221)
     Other, net                                       (305,253)     2,814,801
                                                   -----------    -----------
       Net cash provided (used) by investing 
         activities                                (16,085,425)    22,471,800
                                                   -----------    -----------

                                                                  (Continued)

</TABLE>








                                       3 



<PAGE>   5





                     FIRST FEDERAL CAPITAL CORP AND SUBSIDIARIES 
                  Consolidated Statements of Cash Flows (Continued) 


<TABLE>
<CAPTION>

                                                     Three Months Ended
                                                          March 31
                                                -----------------------------
                                                     1997           1996
                                                  (Unaudited)    (Unaudited)
   <S>                                           <C>             <C> 
   Cash flows from financing activities: 
     Net increase in deposit liabilities           $29,630,355    $25,851,078
     Long-term advances from Federal Home 
       Loan Bank                                    25,000,000    100,000,000
     Repayment of long-term Federal Home Loan 
       Bank advances                              (127,776,000)   (42,750,000)
     Net increase (decrease) in short-term 
       Federal Home Loan Bank borrowings            84,333,000   (103,135,000)
     Increase (decrease) in other borrowings            (1,686)       998,447
     Increase in advance payments by borrowers 
       for taxes and insurance                       1,189,544      1,135,089
     Purchase of treasury stock                     (1,206,438)    (5,622,063)
     Dividends paid                                   (979,527)      (917,113)
     Other, net                                       (613,909)     1,263,511
                                                   -----------    -----------
       Net cash provided (used) by financing 
         activities                                  9,575,339    (23,176,051)
                                                   -----------    -----------
   Net increase (decrease) in cash                   1,618,572     (6,986,490)
   Cash at beginning of period                      24,644,254     30,384,484
                                                   -----------    -----------
       Cash at end of period                       $26,262,826    $23,397,994
                                                   ===========    ===========

   Supplemental disclosures of cash flow information: 
     Interest and dividends received on loans 
       and investments                             $27,254,105    $25,049,243
     Interest paid on deposits and borrowings       17,060,349     15,774,429
     Income taxes paid                                 398,000        304,902
     Income taxes refunded                             -              272,075


   See accompanying notes to consolidated financial statements. 


</TABLE>


                                       4 


<PAGE>   6






                     FIRST FEDERAL CAPITAL CORP AND SUBSIDIARIES 
                     Notes to Consolidated Financial Statements 
                                   March 31, 1997 


   (1) Principles of Consolidation 

   The consolidated financial statements include the accounts and balances
   of First Federal Capital Corp (the "Corporation"), First Federal Savings
   Bank La Crosse-Madison (the "Bank"), and the Bank's wholly-owned
   subsidiaries.  All significant intercompany accounts and transactions have
   been eliminated in consolidation. 

   Unconsolidated partnership interests are accounted for using the equity
   method. 

   (2) Basis of Presentation 

   The accompanying interim consolidated financial statements are unaudited
   and do not include information or footnotes necessary for a complete
   presentation of financial condition, results of operations, or cash flows
   in accordance with generally accepted accounting principles.  However, in
   the opinion of management, all adjustments (consisting of normal recurring
   accruals) necessary for a fair presentation of the consolidated financial
   statements have been included.  Operating results for the three month
   period ended March 31, 1997, may not necessarily be indicative of the
   results which may be expected for the entire year ending December 31, 1997. 

   Certain 1996 balances have been reclassified to conform with the 1997
   presentation. 

   (4) Pending Accounting Change 

   In the first quarter of 1997 the Financial Accounting Standards Board
   ("FASB") issued Statement of Financial Accounting Standards No.  128,
   "Earnings per Share" ("SFAS 128").  This standard replaces "primary
   earnings per share" with "basic earnings per share".  In general, basic
   earnings per share is computed using the actual shares outstanding during
   the period, unadjusted for common stock equivalents.  "Fully-diluted
   earnings per share" is retained under the new standard, but is referred to
   as "diluted earnings per share".  The new standard is effective for periods
   ending after December 15, 1997.  All prior-period earnings per share data
   must be restated.  Earlier adoption is not permitted. 

   If the Corporation had reported its earnings per share in accordance with
   SFAS 128 for the three months ended March 31, 1997 and 1996, it would have
   reported basic earnings per share of $0.61 and $0.48, respectively. 

   (3) Contingencies 

   First Enterprises, Inc. ("FEI"), a wholly-owned subsidiary of the Bank
   that was formerly involved in the acquisition and development of hotels,
   received a favorable judgement in a United States District Court in 1996
   awarding it $1.1 million in compensatory damages, plus post-judgement
   interest on the damages, as well as filing fees and other court costs.  The
   defendant in the action is a well-capitalized money-center bank that
   provided certain trust services relating to one of FEI's hotel joint
   ventures in the 1980s. 



                                       5 



<PAGE>   7





                     FIRST FEDERAL CAPITAL CORP AND SUBSIDIARIES 
             Notes to Consolidated Financial Statements (Continued) 


   In addition to this judgement, FEI also has a pending claim against the
   defendant for punitive damages which could substantially increase the final
   award, if any.  A hearing on this claim was conducted in April of 1997; the
   Corporation does not know at this time when it will be informed of the
   court's decision with respect to this hearing.  The defendant is expected
   to appeal the initial judgement as well as vigorously oppose any award of
   punitive damages.  As a result, management of the Corporation is unable to
   determine the likelihood of a favorable outcome or reliably estimate the
   amount of the final award, if any.  Accordingly, the Corporation has not
   recognized any portion of the current judgement or possible future punitive
   damages in its results of operations. 

   The Corporation and its subsidiaries are also engaged in various routine
   legal proceedings occurring in the ordinary course of business which in the
   aggregate are believed by management to be immaterial to the consolidated
   financial condition of the Corporation. 




                                       6 



<PAGE>   8





                  FIRST FEDERAL CAPITAL CORP AND SUBSIDIARIES 
                  Item 2--Management's Discussion and Analysis 
                                 March 31, 1997 


   Results of Operations 

        Overview The Corporation's net income for the three months ended 
   March 31, 1997 and 1996, was $3.8 million or $0.57 per share and $3.1
   million or $0.45 per share, respectively.  The increase in earnings between
   these two periods was attributable to a variety of factors including a $1.3
   million increase in net interest income, a $503,000 increase in retail
   banking fees, a $400,000 decrease in federal deposit insurance premiums,
   and a $374,000 increase in loan servicing fees.  These developments were
   partially offset by a $758,000 decrease in gain on sales of mortgage loans,
   a $625,000 increase in total non-interest expense (excluding the effect of
   the decline in deposit insurance), and a $535,000 increase in income tax
   expense.  Net income for these two periods represented a return on average
   assets of 0.99% and 0.89%, respectively, and a return on average equity of
   15.73% and 12.58%, respectively. 

   The following paragraphs discuss the aforementioned changes in more detail
   as well as other changes in the Corporation's results of operations during
   the three months ended March 31, 1997, as compared to the same period in
   the previous year. 

        Net Interest Income Net interest income increased by $1.3 million
   or 13.1% during the three months ended March 31, 1997, as compared to the
   same period in the previous year.  Net interest income was favorably
   impacted by a $133.1 million or 10.2% increase in the Corporation's average
   interest-earning assets.  This development was principally due to increases
   in mortgage and consumer loans outstanding, the origination of which were
   primarily funded by increases in Federal Home Loan Bank ("FHLB") advances
   and deposit liabilities. 

   Also contributing to the increase in net interest income was a ten basis
   point improvement in the Corporation's average interest rate spread.
   Management attributes this improvement to a higher percentage mix of
   interest-earning assets invested in mortgage and consumer loans, which
   generally earn higher yields than the Corporation's other interest-earning
   assets.  Contributing to a lesser degree was a lower interest cost on the
   Corporation's interest-bearing liabilities, due primarily to the lag
   effects of a generally lower interest rate environment in 1996 as compared
   to 1995 and earlier periods.  It should be noted, however, that management
   of the Corporation does not expect the average cost of the Corporation's
   interest-bearing liabilities to decline in the immediate future.  Recent
   increases and expected future increases in market interest rates, combined
   with the Corporation's negative funding gap, are expected to result in a
   higher cost of liabilities and a narrower interest rate spread for the
   Corporation in the immediate future.  Refer to "Asset/Liability
   Management" for additional discussion. 

   The following table sets forth information regarding (i) the total dollar
   amount of interest income from interest-earning assets and the resulting
   average yields, (ii) the total dollar amount of interest expense from
   interest-bearing liabilities and the resulting average costs, (iii) net
   interest income, (iv) interest rate spread, (v) net interest margin, and
   (vi) the ratio of average interest-earning assets to average
   interest-bearing liabilities.  The information is based on daily average
   balances during the three months ended March 31, 1997, and 1996,
   respectively. 
                                       7 



<PAGE>   9





                  FIRST FEDERAL CAPITAL CORP AND SUBSIDIARIES 
            Item 2--Management's Discussion and Analysis (Continued) 

<TABLE>
<CAPTION>


                                                             Three Months Ended                          Three Months Ended
   Dollars in thousands                                        March 31, 1997                              March 31, 1996
                                                -------------------------------------------        ----------------------------
                                                    Average                                     Average
                                                    Balance       Interest      Yield/Cost      Balance     Interest    Yield/Cost
   <S>                                            <C>             <C>           <C>             <C>           <C>         <C>
   Interest-earning assets: 
     Loans held for investment and loans held 
       for sale                                   $1,132,731        $23,302        8.23%        $952,842      $20,008     8.40%
     Mortgage-backed and related securities          206,724          3,215        6.22          251,015        3,873     6.17
     Investment securities                            69,755          1,038        5.95           77,069        1,138     5.91
     Interest-bearing deposits                         6,135             82        5.32            3,939           55     5.59
     Other earning assets                             19,278            320        6.64           16,630          269     6.47
                                                   ----------      --------      -------      ----------      -------     ---- 
       Total interest-earning assets               1,434,623         27,956        7.79        1,301,495       25,343     7.79
                                                                   --------      -------      ----------      -------     ---- 
   Non-interest-earning assets: 
     Office properties and equipment                   26,339                                     27,055
     Other non-interest-earning assets                 53,789                                     53,946
                                                   -----------                                 ---------
       Total assets                                 $1,514,751                                $1,382,496
                                                   ===========                                 =========
   Interest-bearing liabilities: 
     Deposit liabilities                              $954,360       11,978         5.02        $895,776       11,456     5.12
     FHLB advances                                     364,466        5,011         5.50         301,276        4,247     5.64
     Other borrowed funds                               13,638          161         4.72           8,244           85     4.12
                                                   -----------     --------      -------      ----------       ------     ----
       Total interest-bearing liabilities            1,332,464       17,150         5.15       1,205,296       15,788     5.24
                                                                   --------      -------      ----------      -------     ----
   Non-interest-bearing liabilities: 
     Non-interest-bearing deposits                      77,143                                    69,798
     Other liabilities                                   9,587                                     9,818
                                                   -----------                                 ---------
       Total liabilities                             1,419,195                                 1,284,912
   Stockholders' equity                                 95,556                                    97,584
                                                   -----------                                 ---------
       Total liabilities and stockholders' 
         equity                                     $1,514,751                                $1,382,496
                                                   ===========                                ==========  
   Net interest income                                              $10,806                                   $9,5554
                                                                   ========                                  ========
   Interest rate spread                                                             2.65%                                 2.55%
                                                                                    =====                                =====
   Net yield on interest-earning assets                                             3.01%                                 2.94%
                                                                                    =====                                =====
   Average earning assets to average 
     interest-bearing liabilities                                                 107.67%                               107.98%
                                                                                   ======                               ======

</TABLE>

        Provision for Loan Losses Due to growth in the Corporation's loan
   portfolio in recent periods, management of the Corporation elected to
   record a provision for loan losses during the current period.  The
   provision recorded was equal to the Corporation's actual charge-off
   activity during the period. 

   As of March 31, 1997, and December 31, 1996, the Corporation's allowance
   for loan losses was $7.9 million or 0.70% and 0.71% of loans held for FIRST

                                       8 


 
<PAGE>   10





                     FEDERAL CAPITAL CORP AND SUBSIDIARIES 
            Item 2--Management's Discussion and Analysis (Continued) 


   investment, respectively.  Although management believes that the
   Corporation's present level of allowance for loan losses is adequate, there
   can be no assurance that future adjustments to the allowance won't be
   necessary, which could adversely affect the Corporation's results of
   operations. 

        Non-Interest Income Non-interest income was $5.2 million and $4.8
   million during the three months ended March 31, 1997 and 1996,
   respectively.  The following paragraphs discuss the principal components of
   non-interest income and the primary reasons for their change from 1996 to
   1997. 

   Retail banking fees increased by $503,000 or 21.8% during the three months
   ended March 31, 1997, compared to the same period in the previous year.
   This increase was primarily due to a general increase in per-transaction
   service charges and a 11.0% increase in the number of checking accounts
   serviced by the Corporation since December 31, 1995.  Also contributing was
   $183,000 in fees earned on customers' use of debit cards, which were first
   introduced by the Corporation in the fourth quarter of 1996. 

   Commissions on annuity and insurance sales increased by $127,000 or 25.9%
   during the three months ended March 31, 1997, compared to the same period
   in the previous year.  This increase was primarily attributable to the
   receipt in the most recent period of an annual bonus on credit life
   insurance policies sold by the Corporation. 

   Loan servicing fees increased by $374,000 or approximately 180% during the
   three months ended March 31, 1997, compared to the same period in the
   previous year.  This increase was primarily caused by losses recorded on
   the Corporation's mortgage servicing rights in the first quarter of 1996.
   A declining interest rate environment in late 1995 resulted in an increase
   in mortgage refinance activity during the first quarter of 1996 which
   resulted in increased loan prepayment activity.  As a result of such
   activity, the value of the Corporation's mortgage servicing rights was
   estimated to have declined by $523,000.  This compares to an estimated
   decline in value of only $150,000 during the first quarter of 1996. 

   Gain on sales of mortgage loans decreased by $758,000 or approximately 50%
   during the three months ended March 31, 1997, compared to the same period
   in the previous year.  This decrease was primarily attributable to a $39.9
   million or approximately 55% decline in the Corporation's mortgage loan
   sales between the two periods.  This decline was principally due to a more
   favorable interest rate environment in early 1996 as compared to the same
   period in 1997, which resulted in the origination and sale of more
   fixed-rate mortgage loans during the former period.  Recent and expected
   future increases in market interest rates may further reduce customer
   demand for fixed-rate mortgage loans in the immediate future, which could
   further reduce the Corporation's gain on sales of mortgage loans. 

        Non-Interest Expense Non-interest expense was $9.7 million and $9.5
   million or 2.57% and 2.75% of average assets during the three months ended
   March 31, 1997 and 1996, respectively.  The following paragraphs discuss
   the principal components of non-interest expense and the primary reasons
   for their change from 1996 to 1997. 



                                       9 




<PAGE>   11




                  FIRST FEDERAL CAPITAL CORP AND SUBSIDIARIES 
            Item 2--Management's Discussion and Analysis (Continued) 


   Compensation and employee benefits increased by $344,000 or 7.2% during the
   three months ended March 31, 1997, compared to the same period in the
   previous year.  This increase was due in part to normal annual merit
   increases as well as the Corporation's net addition of four banking
   locations in 1996.  The Corporation also opened a supermarket banking
   location in the first quarter of 1997, but also closed a traditional
   banking facility during the same period.  The Corporation intends to open
   four additional supermarket banking offices during the remainder of 1997,
   although there can be no assurances.  As of March 31, 1997, the Corporation
   employed 651 full-time equivalent employees.  This compares to 641 and 626
   at December 31, 1996, and March 31, 1996, respectively. 

   Occupancy and equipment expense increased by $141,000 or 8.4% during the
   three months ended March 31, 1997, compared to the same period in the
   previous year.  This increase was primarily attributable to the opening of
   the aforementioned banking facilities in 1996 and 1997. 

   Advertising and marketing expense increased by $219,000 or approximately
   80% during the three months ended March 31, 1997, compared to the same
   period in the previous year.  This increase was principally due to
   increased expenditures related to savings and certificate of deposit
   promotions, mortgage and consumer lending promotions, check promotions, and
   other marketing and research efforts.  Although advertising and marketing
   expense has increased significantly from the first quarter of 1996,
   management of the Corporation does not expect this trend to continue
   throughout 1997, although there can be no assurances. 

   Federal insurance premiums decreased by $400,000 or approximately 70%
   during the three months ended March 31, 1997, compared to the same period
   in the previous year.  This decrease was attributable to a decline in the
   Bank's federal insurance premiums as a result of the recapitalization of
   the Saving Association Insurance Fund ("SAIF") in the third quarter of
   1996. 

   Other non-interest expenses decreased by $79,000 or 3.6% during the three
   months ended March 31, 1997, compared to the same period in the previous
   year.  This decrease was principally due to the payment of merger-related
   expenses in the previous year that were related to the Corporation's
   acquisition of Rock Financial Corp. in December 1995. 

        Income Tax Expense Income tax expense for the three months ended 
   March 31, 1997 and 1996, was $2.4 million and $1.8 million, respectively,
   on pretax income of $6.1 million and $4.9 million, respectively.  The
   effective tax rates for these periods were 38.7% and 37.4%, respectively.
   The Corporation's effective tax rate has increased in recent periods due to
   a higher mix of taxable earnings in the State of Wisconsin relative to the
   State of Nevada, where the Corporation has established a wholly-owned
   investment subsidiary. 

   Financial Condition 

   The Corporation's total assets increased by $14.8 million or 1.0% during
   the three months ended March 31, 1997.  This increase was primarily the
   result of a $22.5 million or 2.0% increase in loans held for investment due
   principally to continued strong demand for the Corporation's single-family
   adjustable-rate mortgage loans.  The Corporation has experienced consistent 

                                       10 



<PAGE>   12





                  FIRST FEDERAL CAPITAL CORP AND SUBSIDIARIES 
            Item 2--Management's Discussion and Analysis (Continued) 


   growth in this loan category since March of 1996.  Management attributes
   this growth to an interest rate environment that favored the origination of
   adjustable-rate mortgage loans, which the Corporation generally retains in
   its portfolio.  Management expects this trend to continue in the immediate
   future as a result of recent and expected future increases in market
   interest rates, although there can be no assurances.  Also contributing to
   the increase in loans held for investment during the period, were increases
   in the Corporation's education, consumer, and commercial real estate loans. 

   The growth in loans held for investment was principally funded by a $29.6
   million or 2.9% increase in deposit liabilities.  This growth was evenly
   distributed between certificates of deposit, money market savings accounts,
   and non-interest-bearing checking accounts.  Management attributes this
   growth to a combination of its expansion efforts in recent years,
   competitive product and interest rate offerings, convenient banking
   locations, and strong local economies in its market areas.  Management
   expects deposit liabilities to continue to grow modestly in the immediate
   future, although there can be no assurances. 

   Growth in the Corporation's deposit liabilities was also used to reduce
   the Corporation's borrowings from the FHLB. As a result, FHLB advances
   outstanding declined by $18.4 million or 4.9% during the three months ended
   March 31, 1997. 

   The Corporation's aggregate investment in its investment securities and
   mortgage-backed and related securities portfolios declined by $14.9 million
   or 5.3% during the three months ended March 31, 1997.  This decline was
   principally due to the normal periodic amortization of the mortgage loans
   that underlie mortgage-backed securities and/or the periodic sale or
   maturity of investment securities.  The proceeds from such amortization,
   maturities, and/or sales were reinvested in loans held for investment or
   were used to reduce borrowings from the FHLB, as previously described. 

   The Corporation's non-performing assets (consisting of non-accrual loans,
   real estate acquired through foreclosure or deed-in-lieu thereof, and real
   estate in judgement) were $2.6 million or 0.17% of total assets at March
   31, 1997, compared to $2.4 million or 0.16% at December 31, 1996.  The
   Corporation's other classified assets were $9.7 million or 0.63% of total
   assets at March 31, 1997, compared to $10.0 million or 0.66% at December
   31, 1996. 

   Asset/Liability Management 

   The Corporation manages the exposure of its operations to changes in
   interest rates ("interest rate risk") by monitoring its ratio of
   interest-earning assets to interest-bearing liabilities within one- and
   three-year maturities and/or repricing dates.  Management has sought to
   control these ratios, thereby limiting the affects of changes in interest
   rates on the Corporation's earnings, by selling substantially all of its
   originations of long-term, fixed-rate, single-family mortgage loans in the
   secondary market, investing in adjustable-rate single-family residential
   loans, investing in short- to medium-term CMOs, and investing in consumer
   loans and education loans, which generally have shorter terms to maturity
   and higher interest rates. 



                                       11 


<PAGE>   13






                  FIRST FEDERAL CAPITAL CORP AND SUBSIDIARIES 
            Item 2--Management's Discussion and Analysis (Continued) 


   The Corporation also originates multi-family residential and commercial
   real estate loans for its own portfolio, which generally have adjustable or
   floating interest rates and/or shorter terms to maturity than conventional
   single-family residential loans. 

   Long-term, fixed-rate, single-family mortgage loans originated for sale in
   the secondary market are generally committed for sale at the time the
   interest rate is locked with the borrower.  As such, these loans pose
   little interest rate risk to the Corporation. 

   Although management believes that its asset/liability management
   strategies reduce the potential effects of changes in interest rates on the
   Corporation's operations, material and prolonged increases in interest
   rates may adversely affect the Corporation's operations because the
   Corporation's interest-bearing liabilities which mature or reprice within
   one year are greater than the Corporation's interest- earning assets which
   mature or reprice within the same period.  Alternatively, material and
   prolonged decreases in interest rates may benefit the Corporation's
   operations. 

   Liquidity and Capital Resources 

   The Bank is required under applicable federal regulations to maintain
   specified levels of qualifying types of U.S.  government, federal agency,
   and other investment securities of not less than 5% of its net withdrawable
   accounts and short-term borrowings, of which liquid assets maturing in one
   year or less must consist of not less than 1%.  The Bank was in full
   compliance with these regulations during the three months ended March 31,
   1997. 

   The Corporation's stockholders' equity ratio as of March 31, 1997, was
   6.36% of total assets.  The Corporation's long-term objective is to
   maintain this ratio in a range of approximately 6.5% to 7.0%, which is
   consistent with return on asset and return on equity goals of 1% and 15%,
   respectively.  The Corporation's equity ratio is below its target range as
   of March 31, 1997.  Management expects the ratio to return to its target
   range during the next 18 to 24 months, although there can be no
   assurances. 

   The Bank is also required to maintain specified amounts of capital
   pursuant to regulations promulgated by the Office of Thrift Supervision
   ("OTS") and the Federal Deposit Insurance Corporation ("FDIC").  The
   Bank's long-term objective is to maintain its regulatory capital in an
   amount sufficient to be classified in the highest regulatory capital
   category (i.e., as a "well capitalized" institution).  At March 31, 1997,
   the Bank's regulatory capital exceeded all regulatory minimum requirements
   as well as the minimum amount required to be classified as a "well
   capitalized" institution. 

   The Corporation paid cash dividends of $980,000 and $917,000 during the
   three months ended March 31, 1997 and 1996, respectively.  These amounts
   equated to dividend payout ratios of 26.1% and 29.9% of net income in such
   periods, respectively.  It is the Corporation's long-term objective to
   maintain its dividend payout ratio in a range of 25% to 35% of net income.
   However, the Corporation's dividend policy and/or dividend payout ratio
   will be impacted by considerations such as the level of stockholders' 

                                       12 



<PAGE>   14





                  FIRST FEDERAL CAPITAL CORP AND SUBSIDIARIES 
            Item 2--Management's Discussion and Analysis (Continued) 


   equity in relation to the Corporation's stated goal, as previously
   described, regulatory capital requirements for the Bank, as previously
   described, and certain regulatory restrictions on the payment of dividends.
   Furthermore, unanticipated or non-recurring fluctuations in earnings may
   impact the Corporation's ability to pay dividends and/or maintain a given
   dividend payout ratio. 

   On April 22, 1997, the Board of Directors of the Corporation declared a
   $0.18 per share dividend payable on June 5, 1997, to shareholders of record
   on May 15, 1997.  On the same date the Board of Directors also approved a
   three-for-two stock split in the form of a stock dividend, payable on June
   12, 1997, to shareholders of record on May 15th. 

   During the three months ended March 31, 1997, the Corporation repurchased
   43,000 shares of common stock at a cost of $1.2 million under its 1996
   stock repurchase plan. 

   Forward-Looking Statements 

   The discussion in this report includes certain forward-looking statements
   based on current management expectations.  Examples of factors which could
   cause future results to differ from management's expectations include, but
   are not limited to the following: general economic and competitive
   conditions; legislative and regulatory initiatives; monetary and fiscal
   policies of the federal government; general market rates of interest;
   interest rates on competing investments; interest rates on funding sources;
   consumer demand for deposit and loan products and services; consumer demand
   for other financial services; changes in accounting policies or guidelines;
   and changes in the quality or composition of the Corporation's loan and
   investment portfolios. 


                                       13 


<PAGE>   15






                  FIRST FEDERAL CAPITAL CORP AND SUBSIDIARIES 
                           Part II--Other Information 
                                 March 31, 1997 


   Item 1--Legal Proceedings. 

   Refer to Note 4 of the Corporation's Consolidated Financial Statements. 

   Item 2--Changes in Securities. 

   None. 

   Item 3--Defaults Upon Senior Securities. 

   Not applicable. 

   Item 4--Submission of Matters to Vote of Security Holders. 

   The Corporation held its Annual Meeting of Shareholders on April 23, 1997.
   The following matters were voted upon at the Annual Meeting of
   Shareholders: 

   1. The election of three nominees for the Board of Directors, who will
      serve for a three-year term, was voted upon by the Corporation's
      shareholders.  The nominees, all of whom were elected, are set forth in
      the table below.  The Inspector of Election certified the following vote
      tabulations: 

                                           FOR                 WITHHELD 
        Marjorie A.  Davenport          4,692,863               36,193 
        Richard T. Lommen               4,707,838               21,217 
        Phillip J. Quillen              4,708,808               20,247 

   2. Approval of the 1997 Stock Option and Incentive Plan in which officers
      and employees of the Corporation and its affiliates are eligible to
      participate. 
                                                                BROKER 
                                 FOR      AGAINST    ABSTAIN   NON-VOTE 
                              3,366,766   417,783     82,339    862,168 

   3. Ratification of the appointment by the Board of Directors of Ernst and
      Young LLP as the Corporation's independent auditors for the year ending
      December 31, 1997: 

                                           FOR       AGAINST    ABSTAIN 
                                        4,688,839     21,789     18,431 

   Item 5--Other Information. 

   None. 

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

   None. 






                                       14 


   
<PAGE>   16





                                 SIGNATURES 



   Pursuant to the requirements of the Securities Exchange Act of 1934, the
   registrant duly caused this report to be signed on its behalf by the
   undersigned thereunto duly authorized. 


                                                 FIRST FEDERAL CAPITAL CORP 


   Date: May 1, 1997                       By:  /s/ Thomas W. Schini 
                                                Thomas W. Schini, Chairman 
                                                of the Board, President, and 
                                                Chief Executive Officer 
                                                (duly authorized officer) 


   Date: May 1, 1997                       By:  /s/ Jack C. Rusch 
                                                Jack C. Rusch, 
                                                Executive Vice President, 
                                                Treasurer, and Chief 
                                                Financial Officer 







                                       15